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Essays On Investor Sentiment, Media, And Trading, Changyun Zhou
Essays On Investor Sentiment, Media, And Trading, Changyun Zhou
Dissertations, Theses, and Capstone Projects
This dissertation consists of three chapters that span investor sentiment, media and trading.
Chapter 1: I introduce a direct cross-border sentiment measure of foreign investors and find such foreign sentiment generates significant economic effects on market-level prices. It predicts significant return reversals in the destination markets both in-sample and out-of-sample. This foreign sentiment is unique and distinct from local sentiments in either origin or destination markets. Instrumental-variable and event-based analyses support a large causal effect of cross-border sentiment with, e.g., a multiplier of 4-5. Capital flows contain an important foreign sentiment component, and a residual component positively predicting returns. …
Essays On Institutional Investor Trading, Karolina Krystyniak
Essays On Institutional Investor Trading, Karolina Krystyniak
Dissertations, Theses, and Capstone Projects
This dissertation consists of three chapters that examine the role of institutional investors in stock market efficiency. Institutions are important and influential market participants. This study aims to analyze whether institutional investor trading is consistent with higher attention and better skill, what is the impact of institutional trading on future asset prices and how does institutional trading relate to the liquidity in the market.
The first chapter of the dissertation analyzes institutional investors’ response to stock level liquidity shocks. I find that institutions, especially the transient ones, buy stocks that experience positive liquidity shocks and sell those that experience negative …