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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 …
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies, Changmei Zhang
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies, Changmei Zhang
Theses and Dissertations in Business Administration
This dissertation, by employing different trading strategies, addresses the trading profitability issue in a broad scope of different markets.
In the equity market, I construct a group of BUY-SELL portfolios based on prior stock returns, and find that contrarian and momentum strategies are both significantly profitable. Investor sentiment, in addition to firm-specific risks, provides behavioral explanations to the profitability. Three popular sentiment measures are used for the purpose of study: two reduced-formed sentiment indexes that are constructed by Baker and Wurgler (2006) and the survey-based University of Michigan Consumer Sentiment Index. Several interesting findings are revealed: (1) extreme sentiment levels …