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Description
I examine the degree to which stockholders' aggregate gain/loss frame of reference in the equity of a given firm affects their response to the firm's quarterly earnings announcements. Contrary to predictions from rational expectations models of trade (Shackelford and Verrecchia 2002), I find that abnormal trading volume around earnings announcements is larger (smaller) when stockholders are in an aggregate unrealized capital gain (loss) position. This relation is stronger among seller-initiated trades and weaker in December, consistent with the cognitive bias referred to as the disposition effect (Shefrin and Statman 1985). Sensitivity analysis reveals that the relation is stronger among less sophisticated investors and for firms with weaker information environments, consistent with the behavioral explanation. I also present evidence on the consequences of this disposition effect. First, stockholders' aggregate unrealized capital gain position moderates the degree to which information-related determinants of trade (e.g. unexpected earnings, firm size, and forecast dispersion) affect abnormal announcement-window trading volume. Second, stockholders' aggregate unrealized capital gains position is associated with announcement-window abnormal returns, consistent with the disposition effect reducing the market's ability to efficiently incorporate earnings news into price.
ContributorsWeisbrod, Eric (Author) / Hillegeist, Stephen (Thesis advisor) / Kaplan, Steven (Committee member) / Mikhail, Michael (Committee member) / Arizona State University (Publisher)
Created2012
Description
The classification of financially at-risk is an expansive term that fits the personal profile of most individuals when it comes to the conditioning of their attitude toward money management, particularly in the planning and investment of that money for the achievement of long-term goals. In the case of this thesis, we focus primarily on those who have made a career in professional athletics and entertainment. The behavioral finance tendencies of these two industry professions are widely regarded as insufficient and often damaging the to the longevity of achieved financial security. This ideology stems primarily from an environment where individuals enjoy rapid wealth accumulation in a highly competitive and constantly transitioning role within their respective crafts. The subjectively common behavioral shortcomings of these world-class athletes and performers and uncertain day-to-day security of the professions which these at-risk individuals possess make for highly unfavorable circumstances when striving to achieve a lifetime of income and a secure retirement. In examining individuals of these classes who have faced grave financial hardship, this thesis will serve as a basis for identifying measures to recondition problematic behavioral tendencies that ultimately cause disengagement from a prudent financial plan. Therefore, this thesis will also serve as a framework to determine what investment strategies will complement the behavioral modifications financial planners strive to instill in these individuals, so that professional athletes, celebrities, and financially at-risk professionals alike may achieve higher probability of creating financial freedom through the engaged execution of a goals-based financial plan.
ContributorsKeller, Charles Phillip (Author) / Licon, Wendell (Thesis director) / Budolfson, Arthur (Committee member) / Department of Supply Chain Management (Contributor) / Dean, W.P. Carey School of Business (Contributor) / Barrett, The Honors College (Contributor)
Created2019-05
Description
This paper investigates whether measures of investor sentiment can be used to predict future total returns of the S&P 500 index. Rolling regressions and other statistical techniques are used to determine which indicators contain the most predictive information and which time horizons' returns are "easiest" to predict in a three year data set. The five "most predictive" indicators are used to predict 180 calendar day future returns of the market and simulated investment of hypothetical accounts is conducted in an independent six year data set based on the rolling regression future return predictions. Some indicators, most notably the VIX index, appear to contain predictive information which led to out-performance of the accounts that invested based on the rolling regression model's predictions.
ContributorsDundas, Matthew William (Author) / Boggess, May (Thesis director) / Budolfson, Arthur (Committee member) / Hedegaard, Esben (Committee member) / Barrett, The Honors College (Contributor) / School of Mathematical and Statistical Sciences (Contributor) / Department of Finance (Contributor)
Created2013-12
ContributorsEvans, Bartlett R. (Conductor) / Schildkret, David (Conductor) / Glenn, Erica (Conductor) / Concert Choir (Performer) / Chamber Singers (Performer) / ASU Library. Music Library (Publisher)
Created2018-03-16
ContributorsOwen, Ken (Conductor) / McDevitt, Mandy L. M. (Performer) / Larson, Brook (Conductor) / Wang, Lin-Yu (Performer) / Jacobs, Todd (Performer) / Morehouse, Daniel (Performer) / Magers, Kristen (Performer) / DeGrow, Gary (Performer) / DeGrow, Richard (Performer) / Women's Chorus (Performer) / Sun Devil Singers (Performer) / ASU Library. Music Library (Publisher)
Created2004-03-24
ContributorsMetz, John (Performer) / Sowers, Richard (Performer) / Collegium Musicum (Performer) / ASU Library. Music Library (Publisher)
Created1983-01-29
ContributorsEvans, Bartlett R. (Conductor) / Glenn, Erica (Conductor) / Steiner, Kieran (Conductor) / Thompson, Jason D. (Conductor) / Arizona Statesmen (Performer) / Women's Chorus (Performer) / Concert Choir (Performer) / Gospel Choir (Conductor) / ASU Library. Music Library (Publisher)
Created2019-03-15
ContributorsKillian, George W. (Performer) / Killian, Joni (Performer) / Vocal Jazz Ensemble (Performer) / ASU Library. Music Library (Publisher)
Created1992-11-05
ContributorsButler, Robb (Conductor) / McCreary, Kimilee (Conductor) / Bakko, Nicki L. (Conductor) / Schreuder, Joel (Conductor) / Larson, Matthew (Performer) / Ortman, Mory (Performer) / Graduate Chorale I (Performer) / Graduate Chorale II (Performer) / ASU Library. Music Library (Publisher)
Created1999-12-02
ContributorsGarrett, Jennifer (Conductor) / FitzPatrick, Carole (Performer) / Aspnes, Lynne (Performer) / Campbell, Andrew (Pianist) (Performer) / Ryan, Russell (Performer) / Rockmaker, Jody (Performer) / Kocour, Mike (Performer) / McLin, Katherine (Performer) / Larson, Brook Carter (Conductor) / Women's Chorus (Performer) / Men's Chorus (Performer) / ASU Library. Music Library (Publisher)
Created2009-05-04