Essays On Investor Attention
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Essays On Investor Attention
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Author : Hongqi Liu
language : en
Publisher:
Release Date : 2016
Essays On Investor Attention written by Hongqi Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Essays On Investor Attention
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Author : Milica Matovic
language : en
Publisher:
Release Date : 2019
Essays On Investor Attention written by Milica Matovic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Essays On Investors Sentiment And Attention
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Author : Daniele Ballinari
language : en
Publisher:
Release Date : 2021
Essays On Investors Sentiment And Attention written by Daniele Ballinari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
The first paper investigates the predictive power of investors' sentiment and attention for the stock returns' volatility. We introduce a novel and extensive dataset that combines information from social media platforms, news articles, search engine data, and information consumption. Applying a state-of-the-art sentiment classification technique, we construct measures of investors' sentiment and attention for 18 U.S. stocks and the financial market in general. We identify investors' attention, as measured by the number of Google searches on financial keywords (e.g. «financial market» and «stock market»), and the daily volume of company-specific short messages posted on the social media platform StockTwits to be the most relevant variables. The second paper investigates a potential driver of the predictive power documented in the first paper. We focus on news releases of 360 U.S. companies from the S&P 500 universe and analyze how investors' attention affects the speed at which new information is incorporated in stock prices. Our results show that higher investors' attention around news releases is related to higher contemporaneous volatility. Further, retail investor attention increases the post-announcement volatility, whereas institutional investor attention has a small but negative impact on volatility on days following news releases. The third paper extends the analysis of the first paper to the multivariate stock return volatility. Building on the theoretical and empirical evidence that links the price comovements with retail investors' behavior, we analyze the predictive power of retail investors' sentiment and attention for the realized correlation matrix of 35 Dow Jones stocks. We propose a new model of realized covariances that allows exogenous predictors to influence the correlation dynamics while ensuring the predicted matrices' positive definiteness. Using this model, we find retail investors' attention to have predictive power for return correlations, especially for longer forecasting horizons and during the COVID-19 pandemic. The last paper analyzes in more detail the time-series properties of the daily online investor sentiment measures used in the first two papers. We detect structural breaks in the sentiment series for most of the 360 U.S. companies considered in this paper. We illustrate the economic significance of this finding with a return prediction exercise.
Empirical Essays On The Stock Market Impact Of Limited Investor Attention
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Author : Heiko Jacobs
language : en
Publisher:
Release Date : 2011
Empirical Essays On The Stock Market Impact Of Limited Investor Attention written by Heiko Jacobs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Two Essays On Investor Attention And Asset Pricing
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Author : Nadia Asmaa Nafar
language : en
Publisher:
Release Date : 2015
Two Essays On Investor Attention And Asset Pricing written by Nadia Asmaa Nafar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Real estate investment trusts categories.
Two Essays On China S Stock Markets
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Author : Zhiguo Wu
language : en
Publisher:
Release Date : 2017-01-26
Two Essays On China S Stock Markets written by Zhiguo Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-26 with categories.
This dissertation, "Two Essays on China's Stock Markets" by Zhiguo, Wu, 吴志国, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: China's stock markets have become the second largest in the world after that of the United States. Both the Chinese institutional setting and the behaviors of the populous Chinese investors and listed firms provide novel opportunities to explore the classical theories in the field of economics and finance. Using two natural experiments, this thesis attempts to shed new light on these theories. The local bias puzzle was originally proposed from the analysis of investors' investment portfolios. In the first essay, I test and confirm the hypothesis that local bias has already existed in investor attention subconsciously regardless of their investment. In contrast to literature which focuses on investment accounts, I examine local bias in investor attention by analyzing investor messages posted on China's Internet stock message boards. I find that individual investors pay more attention to the stocks of local companies. This finding is strong and robust to local-bias proxy variables. By examining factors that affect investor attention local bias, I find that local bias is particularly strong in underdeveloped regions, for SOEs, for small-investor base and low-turnover stocks, and for stocks with name indicating locality. Furthermore, distance plays a significant role: the marginal effect of local bias is much stronger for distances within 500 kilometers. All these results are consistent with my explanation that local bias is affected by factors which can attract investors' attention. Thus, investment local bias is the natural consequence of investor attention local bias, and I attribute the local bias puzzle to limited investor attention. Chinese stock market has plunged into an unlocking flood of non-tradable shares since June 2006. This radical transition provides a unique natural experimental setting to ascertain earnings management incentives. In the second essay, I explore whether earnings management behavior exists in listed Chinese firms during the unlocking process. I find that non-tradable shareholders opportunistically manipulate earnings upward to offset price pressures for subsequent selling. Firms have higher levels of accruals when unlocking incentive is higher. Furthermore, actual selling incentive is higher in firms which have higher levels of accruals. The results document a novel case that equity incentives give rise to the incidence of earnings management. DOI: 10.5353/th_b4807976 Subjects: Investments - China - Decision making Stock exchanges - China
Essays On Corporate Disclosure Related To The Recent Investment Trends
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Author : Kyungjin Park
language : en
Publisher:
Release Date : 2023
Essays On Corporate Disclosure Related To The Recent Investment Trends written by Kyungjin Park and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
This dissertation contains two chapters on the topic of corporate disclosure related to the recent changes in investment trends. Motivated by increased retail investors' attention and influence on the stock market, the first chapter examines whether and how firms change their disclosure behavior in response to retail investor attention. Using data from the online community WallStreetBets as a proxy for retail investor attention, I find a positive association between retail investor attention and disclosure, but only for firms that do not have lottery characteristics. I interpret this result as due to the fact that retail investors with a gambling purpose invest in firms that have lottery characteristics and focus on market outcomes rather than disclosure. In contrast, non-gambling purpose (i.e., investment purpose) retail investors pay attention to information managers disclose, which can lead to the desire for greater disclosure. In addition, the results show that firms provide more soft and optimistic information in response to retail investor attention, which is a predicted response to retail investors' unsophisticated nature. Overall, the paper's results indicate that firms change their disclosure decisions selectively in response to retail investor attention. Motivated by the prevalence of passive fund investment, the second chapter analyzes the association between passive fund ownership and the processing of disclosed information. The significant size of passive fund ownership raises concerns that the market processes less information because passive fund investors do not speculate based on asset-specific information. However, taking advantage of their significant holdings, passive funds may influence managers of firms to improve public information environment and readability of disclosure, which incentivizes active investors to focus more on processing disclosure. Also, because of passive funds' greater willingness to lend shares, short selling becomes less costly, which incentivizes short sellers to process disclosure. Consistent with passive fund investors' facilitation of active investors' processing of disclosed information, I find that the market processes disclosures more thoroughly when there is higher passive fund ownership. I interpret that although passive fund investors do not process disclosures, passive funds successfully influence trading by active investors and short sellers.
Essays On Share Repurchases
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Author : Barbara Bliss
language : en
Publisher:
Release Date : 2013
Essays On Share Repurchases written by Barbara Bliss and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Two Essays On Investors Attention To Economically Linked Firms
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Author : Mahsa Khoshnoud
language : en
Publisher:
Release Date : 2017
Two Essays On Investors Attention To Economically Linked Firms written by Mahsa Khoshnoud and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
My second essay investigates how sophisticated investors, such as short sellers, trade on information along the supply chain. Short sellers are known to be generally better informed than common investors. Given the economic linkages that exist between the suppliers and customers, one would expect short sellers to trade on such information. My results indicate that short interest predicts unexpected earnings news, consistent with short sellers extracting information from economic relationships. When I evaluate stock return and short interests in regression analysis, I find strong negative relation between short interest in supplier firm and the future stock returns for the customer firm for the return in the next month. The negative relation persists for twelve months. I find similar results from portfolio approach. I argue that one plausible channel that explains the information content of supplier (customer) firm's short interest for the customer (supplier) firms is short sale constraints on the customer (supplier) firms. My results are consistent with this explanation. Overall, my findings suggest that short sellers play an important role in the price discovery of related firms on supply chain, beyond their direct effects documented previously.
When Csr Meets The Stock Market
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Author : Amal El aouadi
language : en
Publisher:
Release Date : 2016
When Csr Meets The Stock Market written by Amal El aouadi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This thesis consists of three empirical essays investigating the role of investor attention as a determinant of the relationship between corporate social performance (CSP) and financial performance. Our aim is to rethink the controversial literature on the financial implications of CSR activities by exploring a new premise - investor attention may shape the financial returns on corporate social impact. Since a growing stream of literature has highlighted the role of firm visibility as well as stakeholder attention to connect CSP to financial performance in addition to the complementary literature of investor attention and stock prices, we expect that controlling for firm-specific investor attention would provide novel insights to the literature on the potential financial effects of CSP.A consistent strand of literature has provided interesting evidence of a strong relationship between the firm CSP and its stakeholders such as consumers, employees, suppliers, investors, analysts, activists and communities, and regulators, with the benefits being stronger, the greater the attention to and salience of social activities among stakeholders. We complement and extend this literature by implementing a more granular analysis and particularly we focus on the relevance of investors' attention, a scarce and limited cognitive resource.This research is divided in four chapters. The first chapter is a survey of prior theoretical and empirical literature on the controversial debate of the relation between CSR and financial outcomes. We have particularly reviewed potential mechanisms that allow CSP to translate into CFP. Most importantly, we rely on studies claiming that firm visibility is a crucial factor to connect social impact to financial performance. Another argument of great appeal is the stakeholder attention theory as proposed by Madsen and Rodgers (2015) from which our research question draws its full legitimacy. Then, we have connected the literatures on attention, information, decision making and CSR to remake the CSP-CFP puzzle and highlight potential research hypotheses. A more readable view is provided by Figure 1 (later in this document) which integrates and synthesizes key predictors, outcomes, mediators, and moderators of the CSP-CFP relation by focusing on studies related to CSR and firm visibility thereby introducing the role of investor attention. Figure 1 is not an exhaustive conceptualization of all the intervening variables in this relationship but rather meant as a multilevel lens and guiding framework to which other variables can be added in the future. However, despite all the advancements in assessing the returns on CSR investments, this debate remains unsettled and has yielded conflicting results. Thus, we conducted three empirical essays on the relation between CSP and financial performance and particularly provide new and unique evidence on the role of investor attention to shape this controversial empirical issue. Therefore, in the first essay, we conduct a multi-country event study and investigate the impact of environmental, social and governance (ESG) news headlines on the shareholder wealth. We find that investors do not value positive ESG news headlines but negatively react to negative ESG news headlines. This result is consistent with the idea that social responsibility and irresponsibility are not the two sides of the same coin. Furthermore, evidence reveals that shareholders only react to negative corporate governance related headlines. This suggests that investors may be especially prone to attend to corporate social responsibility (CSR) initiatives that directly impact their own interests as previously suggested by T. M. Jones et al. (2007). Most importantly, investor attention was found to shape the punishment and reward of CSP, after controlling for the additional role of firm's internal moderators such as firm size and advertising expenditure. [...].