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DecisionSciRN: Stock Market Decision-Making (Sub-Topic)最新文献

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Financial Attention and the Disposition Effect 财务关注与处置效应
DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2019-04-16 DOI: 10.2139/ssrn.3141219
Nicolas Dierick, Dries Heyman, Koen Inghelbrecht, Hannes Stieperaere
{"title":"Financial Attention and the Disposition Effect","authors":"Nicolas Dierick, Dries Heyman, Koen Inghelbrecht, Hannes Stieperaere","doi":"10.2139/ssrn.3141219","DOIUrl":"https://doi.org/10.2139/ssrn.3141219","url":null,"abstract":"Abstract Using a novel brokerage dataset covering individual investors’ login and stock trading behavior, we investigate the severity of the disposition effect as a function of attention. Our results show that more attentive investors trade less in line with the disposition effect, suggesting a comparative advantage in incorporating information into financial decision making. Furthermore, we find that high attention is related to a stronger tendency to sell moderate losses, as compared to large ones, while low attention increases an investor’s likelihood to sell extreme, rather than moderate, profits. These results are in line with the theory of cognitive dissonance and saliency effects.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127094892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
Earnings Uncertainty and Attention 盈余不确定性与关注
DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2018-11-19 DOI: 10.2139/ssrn.3287470
Badrinath Kottimukkalur
{"title":"Earnings Uncertainty and Attention","authors":"Badrinath Kottimukkalur","doi":"10.2139/ssrn.3287470","DOIUrl":"https://doi.org/10.2139/ssrn.3287470","url":null,"abstract":"This paper explores the relationship between earnings uncertainty and attention to firm-specific information. I use the percentage of uncertain words in 10-K or 10-Q filings as the primary measure of ex ante earnings uncertainty. I find that, the earnings releases of high uncertainty firms are accompanied by higher Google search volume, higher Bloomberg readership, higher abnormal trading volume, and faster analyst response. Furthermore, I find evidence of larger underreaction of prices to earnings surprises in low uncertainty firms suggesting that attention constraints play a role. The findings are consistent with attention constrained investors allocating more attention to high uncertainty firms.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126628352","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Characteristics of ETF Owners: Exploring the Role of Investor Knowledge, Fee Aversion, and Financial Advice Seeking ETF持有人的特征:探讨投资者知识、费用厌恶和财务建议寻求的作用
DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2018-09-30 DOI: 10.2139/ssrn.3257811
Shane Enete, M. Reiter, Wendy Usrey, Andrew Scott, Martin Seay
{"title":"Characteristics of ETF Owners: Exploring the Role of Investor Knowledge, Fee Aversion, and Financial Advice Seeking","authors":"Shane Enete, M. Reiter, Wendy Usrey, Andrew Scott, Martin Seay","doi":"10.2139/ssrn.3257811","DOIUrl":"https://doi.org/10.2139/ssrn.3257811","url":null,"abstract":"Using the 2015 NFCS Investor Survey, this study investigated the relationship between individual financial characteristics and ETF ownership. While ETFs offer many benefits in comparison to traditional mutual funds, only 22% of investors held ETFs in their investment portfolios. Those ETF owners had higher financial knowledge than their non-ETF owning counterparts, supporting bounded rationality as a driver of investment behavior. The source of the financial knowledge, whether subjective or objective, made no significant difference. Seeking financial help through a financial advisor and aversion to fees were not significant variables in explaining the variation in ETF ownership while increased risk tolerance and financial satisfaction were associated with ETF ownership.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122537812","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Prospect Theory and Measurement on Crowd’s Subjective Behaviors in Trading 前景理论与交易人群主观行为测度
DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2015-08-30 DOI: 10.2139/ssrn.2512319
Leilei Shi
{"title":"Prospect Theory and Measurement on Crowd’s Subjective Behaviors in Trading","authors":"Leilei Shi","doi":"10.2139/ssrn.2512319","DOIUrl":"https://doi.org/10.2139/ssrn.2512319","url":null,"abstract":"We measure crowd’s decision weights in trading by trading volume distribution and determine a reference price about crowd’s assessment value of an individual stock by the maximum volume price in stock market. We examine a reference-dependent preferences hypothesis in trading by two sets of explicit trading volume distribution models, which are connected to an explicit S-shaped value function in prospect theory. It is true with 82.42% in our tests, using high frequency data in China stock market. We explain the patterns of volume distribution by four behavioral features: mental accounting, disposition, decision weight, and coherence or agreement. Moreover, crowd’s traders update a reference price about the assessment value of an individual stock in jump from time to time. It takes place about 11.92% on a trading day. The measure of subjective behaviors by a volume dimension suggests the new openings of asset pricing models and test methodologies in financial economics.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130396008","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Volatility Modeling and Forecasting of the Egyptian: Stock Market Index using ARCH Models 利用ARCH模型对埃及股市指数的波动率建模与预测
DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2004-10-08 DOI: 10.2139/ssrn.631951
Said T. Ebeid, Gamal B. A. Bedeir Alkholi
{"title":"Volatility Modeling and Forecasting of the Egyptian: Stock Market Index using ARCH Models","authors":"Said T. Ebeid, Gamal B. A. Bedeir Alkholi","doi":"10.2139/ssrn.631951","DOIUrl":"https://doi.org/10.2139/ssrn.631951","url":null,"abstract":"This paper estimates and evaluates the forecasting performance of four alternative ARCH- type Models for predicting stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with four different distributions, Gaussian normal, Student-t, Generalized Error Distribution and skewed Student–t. The estimation results show that the forecasting performance of asymmetric GARCH Models (GJR and APARCH),especially when fat-tailed asymmetric densities are taken into account in the conditional volatility, is better than symmetric GARCH. Moreover, it is found that the APAPCH (1,1) Model Provides the best out-of-sample forecasts among all the candidate Models and the skewed Student-t density is more appropriate for modeling the Egyptian stock market index volatility.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132542006","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
What Happens to Stocks that List Shares Abroad? A Survey of the Evidence and its Managerial Implications 在海外上市的股票会发生什么?证据调查及其管理意义
DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 1996-09-01 DOI: 10.2139/ssrn.1612
G. Karolyi
{"title":"What Happens to Stocks that List Shares Abroad? A Survey of the Evidence and its Managerial Implications","authors":"G. Karolyi","doi":"10.2139/ssrn.1612","DOIUrl":"https://doi.org/10.2139/ssrn.1612","url":null,"abstract":"In this paper, I survey the academic literature on the economic implications of the corporate decision to list a company's shares on an overseas stock exchange. The focus is on the valuation and liquidity effects of the listing decision, the impact of listing on the company's global risk exposure and its cost of equity capital. The evidence shows: (1) the share price reacts favorably to cross-border listings in the first month after listing; (2) the post-listing price performance up to one year is highly variable across companies depending on the home and listing market, the company's capitalization, capital-raising needs and other company-specific factors; (3) the total post-listing trading volume increases on average, and, for many issues, home-market trading volume also increases; (4) liquidity of trading in shares improves overall, but depends on the increase in total trading volume, the listing location (e.g., non-U.S. companies listing on the NYSE or Amex experience greater liquidity than those listing on Nasdaq) and the scope of foreign ownership restrictions in the home market; (5) the stock's exposure to domestic market risk is significantly reduced and is associated with only a small increase in global market risk and foreign exchange risk, resulting in a net reduction in the cost of equity capital of 114 basis points on average; (6) American Depository Receipts can represent an effective vehicle to diversify globally; (7) stringent disclosure requirements are the greatest impediment to cross-border listings.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1996-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114159757","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 56
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