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Essays in Behavioral Finance.

Huang, Xing.

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Essays in Behavioral Finance.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Essays in Behavioral Finance./
Author:	Huang, Xing.
Description:	118 p.
Notes:	Source: Dissertation Abstracts International, Volume: 75-01(E), Section: A.
Contained By:	Dissertation Abstracts International75-01A(E).
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3593858
ISBN:	9781303373268

Essays in Behavioral Finance.
Huang, Xing.

Essays in Behavioral Finance. - 118 p.

Source: Dissertation Abstracts International, Volume: 75-01(E), Section: A.

Thesis (Ph.D.)--University of California, Berkeley, 2013.

This dissertation contains three essays in behavioral finance. It explores investors' (non-standard) behaviors and their impacts on market efficiency and market valuations. I strive to empirically characterize how market participants behave, and to identify how these behaviors can improve our understanding of the financial market.

ISBN: 9781303373268Subjects--Topical Terms:

626650
Economics, Finance.

Essays in Behavioral Finance.
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020 $a 9781303373268
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100 1 $a Huang, Xing. $3 2095203
245 1 0 $a Essays in Behavioral Finance.
300 $a 118 p.
500 $a Source: Dissertation Abstracts International, Volume: 75-01(E), Section: A.
500 $a Advisers: Stefano DellaVigna; Ulrike Malmendier.
502 $a Thesis (Ph.D.)--University of California, Berkeley, 2013.
520 $a This dissertation contains three essays in behavioral finance. It explores investors' (non-standard) behaviors and their impacts on market efficiency and market valuations. I strive to empirically characterize how market participants behave, and to identify how these behaviors can improve our understanding of the financial market.
520 $a The first chapter studies the impact of prior investment experience in an industry on the subsequent purchase of new stocks in the same industry. Using trading records data for households at a large discount broker from 1991 to 1996, I establish that the experience of positive excess returns in a given industry increases the probability of purchasing similar stocks in that industry relative to other industries. This result is robust to industry momentum, wealth effects, and investor heterogeneity. The effect decays when the experience is further in the past. Furthermore, I find that investor sophistication mitigates this experience effect. These results are consistent with mechanisms where investors put more weight on their own experience than on other available historical information when updating the beliefs about an industry's future return. The results are also consistent with investors learning about their stock-picking ability in an industry from their experienced outcomes.
520 $a In the second chapter, I ask the question: do investors slow to incorporate return-relevant information if it reflects firms' operations abroad? Using the corresponding industry return in the foreign countries, I show that foreign operations information is slowly incorporated into stock prices. A trading strategy exploiting the foreign operations information of multinational firms generates a monthly abnormal return of approximately $0.80$ percentage points, controlling for risk-based factors. The return predictability is not driven by U.S. industry momentum, global industry momentum or foreign country-specific industry momentum.
520 $a The third chapter further explores the underlying mechanism to explain the market under-reaction to foreign information identified in the second chapter. The return predictability becomes more pronounced for smaller firms and firms with less analyst coverage, lower institutional holdings, lower fraction of foreign operations and more complicated international operations structure. I also find that stock prices respond more to foreign operations information during the month of a quarterly earnings announcement or when there is more foreign news relative to domestic news appearing in the media. In addition, information about firms' operations in Asia is delayed more than information about operations in Europe and English-speaking countries. These results are consistent with the hypothesis that news about multinational firms' foreign operations diffuses gradually, indicating investors' limited attention and processing capacity for foreign information.
590 $a School code: 0028.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 $a University of California, Berkeley. $b Economics. $3 1673006
773 0 $t Dissertation Abstracts International $g 75-01A(E).
790 $a 0028
791 $a Ph.D.
792 $a 2013
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3593858