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Two Essays On Investor Attention And Asset Pricing, Nadia Asmaa Nafar
Two Essays On Investor Attention And Asset Pricing, Nadia Asmaa Nafar
Theses and Dissertations in Business Administration
This dissertation explores the effect of investor attention, as measured by Google Search Volume Index, on security prices. It seeks to answer the following research questions: 1) what is the effect of investor attention on the expected returns of EREITs? And 2) what is the impact of investor attention on the open market repurchases post announcement returns?
Classic theory suggests that information is immediately incorporated into stock prices. However, existing empirical evidence shows that investors are limited in terms of the amount of information they can process. Kahneman (1973) advances that attention is a scarce cognitive resource. Individuals suffer from …