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国外行为经济学博士论文选登

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!

论文名称 Essays in behavioral finance.

作者 Kumar, Alok.;

学位 Ph.D.

学校 Cornell University.

日期 2003

指导老师 Masson, Robert

学科 Economics, Finance.

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.

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