Social and Behavioral Sciences Commons^™

Empirical Essays On Retail Investors, Institutional Investors, And Anomalies, Yuqing Yang

Dissertations, Theses, and Capstone Projects

This dissertation consists of five chapters on market efficiencies through retail and international mutual fund investors.

Chapter 1 This chapter briefly introduces this dissertation.

Chapter 2 This chapter Anomalies Never Disappeared: The Case of Stubborn Retail Investors delves into the “stubborn” retail investors and finds that anomalies traded against by retail investors never disappear in the long run, defying the conventional wisdom that anomalies are disappearing in recent years as market efficiency improves. Incorporating retail trading, I develop asset pricing models that surpass existing prominent models in explaining these long-run alphas. I hypothesize that retail investors exacerbate anomalies: the more …

Essays On Empirical Asset Pricing Models, Somayeh Ahmadi

Dissertations, Theses, and Capstone Projects

This thesis examines co-movement across industry return and value and momentum asset price anomalies through a new perspective and uses machine learning and spatial econometrics approaches. The first chapter examines the main approaches developed in the cross-section asset pricing literature for finding risk variables. The second chapter focuses on spatial co-movement across US industry returns. We show that spatial co-movement explains the variance in US industry returns after accounting for exposure to common variables, serial dynamics, and industry sector-specific characteristics using a dynamic spatial panel data model. The results show that an investment strategy that buys industry portfolios with high …

Essays On Anomalies In International Equity Markets, Xiao Cheng

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters related to empirical asset pricing in the international stock market.

Chapter 1: "Loss of International Sales and Stock Performance" Using international firm-level data from 1990-2015, I show that when global firms' total international sales drop to zero, this conveys an important signal about future firm operations. An equal-weighted portfolio that sells stocks of firms that completely lost international sales and buys stocks of global firms earns up to 86 basis points per month (over 10% per year). This return predictability cannot be explained by the Fama-French international three- or five-factor models. Further examination suggests …