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Essays On Behavioral Finance And Household Finance, Chih-Ching Hung
Essays On Behavioral Finance And Household Finance, Chih-Ching Hung
Dissertations, Theses, and Capstone Projects
This dissertation consists of three chapters that span behavioral and household finance. Chapter 1 is the introduction. Chapter 2 to 4 are the main content. Lastly, chapter 5 concludes.
Chapter 2: I show that daily aggregate retail attention to firms (ARA) strongly and negatively predicts the one-week ahead market returns, whereas aggregate institutional attention (AIA) positively predicts market returns around scheduled major news announcements. Results are robust in out-of-sample tests and the effect of ARA is causal. The patterns are consistent with attention-induced retail buying which generates a transitory price pressure that quickly reverts and an increased institutional attention preceding …
Essays On Social Connectedness, Institutional Behavior, And Market Predictability, Yan Li
Essays On Social Connectedness, Institutional Behavior, And Market Predictability, Yan Li
Dissertations, Theses, and Capstone Projects
This dissertation consists of three chapters that encompass social network, institutional investor behavior, financial market efficiency, and market return predictability.
Chapter 1: We use social network data from Facebook to show that institutional investors are more likely to invest in firms that are located in areas the investor is more socially connected to. This effect is particularly large for investments in small and informationally opaque firms. After controlling for social connectedness, investments do not vary with the geographic distance between investors and firms. We find no evidence that investors achieve higher returns when investing in firms located in areas that …