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Two Essays On Investor Attention, Investor Sentiment, And Earnings Pricing, Qiuye Cai
Two Essays On Investor Attention, Investor Sentiment, And Earnings Pricing, Qiuye Cai
Theses and Dissertations in Business Administration
This dissertation proposes novel direct measures for both firm-level and market-level investor attention and investor sentiment and provides new empirical evidence on the effects of investor attention and investor sentiment on earnings pricing.
The first essay proposes novel direct measures for both market-level and firm-level attention using user activity data from StockTwits.com. To the best of my knowledge, this is the first direct measure of market-level attention. By measuring market-level and firm-level attention separately, I am be able to not only distinguish between attention allocated on market level and firm level but also detach attention from equilibrium outcomes. I document …
Essays On International Risk-Return Trade-Off Relations, Liang Meng
Essays On International Risk-Return Trade-Off Relations, Liang Meng
Finance Theses & Dissertations
This dissertation consists of two essays on the international risk-return trade-off relations. The first essay is titled “The Role of the US Market on International Risk-Return Trade-Off Relations” and the second essay is titled “The Role of Investor Sentiment on International Risk-Return Trade-Off Relations”.
In our first essay, we study the intertemporal risk-return trade-off relations based on returns from 18 international markets. Our main contribution is that we find the US market plays an important role affecting the international risk-return trade-off. We present striking new empirical evidence that the inclusion of US market variables significantly changes the estimated risk-return trade-off …