<P>谨以此帖慰问门可罗雀的行为经济学版和黯然神伤的闲人斑竹！</P>
<P> 论文名称 Essays in behavioral finance. </P>
<P> 作者 Kumar, Alok.; </P>
<P> 学位 Ph.D. </P>
<P> 学校 Cornell University. </P>
<P> 日期 2003 </P>
<P> 指导老师 Masson, Robert </P>
<P> 学科 Economics, Finance. </P>
<P>
摘要
In this study, using data from a major discount brokerage house, I
examine the effects of individual investors' correlated trading activities
and their style-switching behavior on stock returns. I show that the
buy-sell imbalance in individual investors' trades contains a systematic
component that is uncorrelated with overall market movements. Using this
common component as a measure of individual investor sentiment, I show
that it is weakly correlated with standard risk factors and macro-economic
variables, and is strongly influenced by “expert” advice from investment
newsletters. This sentiment measure has incremental explanatory power for
small-cap returns, particularly among stocks with lower prices, lower
institutional ownership, and higher B/M ratios.;I also find that
individual investors engage in style-based investing where they formulate
their demands at a style-level (value versus growth, small versus large)
and re-allocate funds between styles on the basis of past relative
performance as well as “expert” advice from investment newsletters. Their
style-switching behavior is unaffected by innovations in macro-economic
variables or shifts in expectations about stocks' future cash-flows.
However, I find that style-switching induced demand shifts generate
co-movement in returns along style-based attributes. The contemporaneous
relation between style returns and investors' demand shifts is strong, and
I also find some evidence of return predictability using lagged demand
shifts. </P>
<P>
</P>