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Full-Text Articles in Finance and Financial Management
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 …
When Fund Management Skill Is More Valuable?, Feng Dong, John A. Doukas
When Fund Management Skill Is More Valuable?, Feng Dong, John A. Doukas
Finance Faculty Publications
Does fund management skill allow managers to identify mispriced securities more accurately and thereby make better portfolio choices resulting in superior fund performance when noise trading- a natural setting to detect skill - is more prevalent? We find skilled-fund managers with superior past performance to generate persistent excess risk-adjusted returns and experience significant capital inflows, especially in high sentiment times, high stock dispersion and economic expansion states when price signals are noisier. This pattern persists after we control for lucky bias, using the "false discovery rate" approach, which permits to disentangle manager "skill" from "luck".