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- Genre: Doctoral Dissertation
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
Private placement is an important financing tool for listed companies in China, and the lock-up arrangement is its supporting system. The Efficient Market Hypothesis suggests that, if investor expectations are unbiased, there will be no abnormal fluctuations in the stock prices of listed companies before and after the unlocking day. However, around the time of the unlocking of private placement shares, the stock prices generally show a V-shaped pattern.
Through the empirical analysis of the Chinese A-share stocks from May 8th,2006 to December 31st, 2016, I found that from the 40th day before the unlocking day to the 90th day after, the stock price showed an evident first-downward-then upward trend. The lowest price appeared near the unlocking day. Meanwhile, the greater stocks fall before the unlocking day, the greater prices rise after that. The characteristics of the distinctive difference between the stock prices before and after the unlocking day can provide investment opportunities.
By reviewing research on investor behavior, this paper suggests that the V-shaped pattern can be explained by the influence of investors’ psychological factors on their trading behavior. The general performance of the stocks before the unlocking day is negative due to the increasing uncertainty perceived by investors. After the unlocking day, the uncertainty gradually disappears and the stock rebounds. In addition, I found that stock returns during the lock-up period, shareholder background, and the length of lock-up period also had significant impacts on the V-shaped price trend.
Through the empirical analysis of the Chinese A-share stocks from May 8th,2006 to December 31st, 2016, I found that from the 40th day before the unlocking day to the 90th day after, the stock price showed an evident first-downward-then upward trend. The lowest price appeared near the unlocking day. Meanwhile, the greater stocks fall before the unlocking day, the greater prices rise after that. The characteristics of the distinctive difference between the stock prices before and after the unlocking day can provide investment opportunities.
By reviewing research on investor behavior, this paper suggests that the V-shaped pattern can be explained by the influence of investors’ psychological factors on their trading behavior. The general performance of the stocks before the unlocking day is negative due to the increasing uncertainty perceived by investors. After the unlocking day, the uncertainty gradually disappears and the stock rebounds. In addition, I found that stock returns during the lock-up period, shareholder background, and the length of lock-up period also had significant impacts on the V-shaped price trend.
ContributorsZhang, Hongwei (Author) / Zhu, Hongquan (Thesis advisor) / Yan, Hong (Thesis advisor) / Gu, Bin (Committee member) / Arizona State University (Publisher)
Created2018
Description基于人类加密学，第一例加密数字货币“比特币”的概念最初由中本聪在2008年11月1日提出，于2009年1月3日正式诞生。经过14年的历程，整个加密货币世界得到了快速的发展、加密生态得到了极大的繁荣、有利的推动了整个人类数字文明的衍进和发展。截至2021年5月，加密货币总市值达到2.4万亿美元的峰值，加密数字货币的数量已经近6000种。单只市值超过10亿美元的数字货币有77个，单只市值超过100万美元的数字货币有1600个。虽然对加密货币究竟应该定义为商品还是证券仍存在巨大争议，但毫无疑问的是加密货币已经成为瞩目且不可忽视的一类投资性资产。
本论文试图从金融资产分析框架和行为金融学角度出发，探究比特币和以太币这两只最具有代表性的数字货币的价格影响因素。本论文分别从宏观和微观两个维度探究两个维度下的因素对价格波动的影响。从宏观视角出发探究问题一：通缩发行机制、联储货币政策、以及中美监管政策对比特币及以太币价格的影响。从微观视角出发探究问题二：加密货币的应用、市场行为金融的视角看其比特币及以太币价格波动的影响。
本论文通过应用定性和定量相结合的研究分析方法，运用一系列时间序列回归模型、相关性分析、区间统计分析、经典行为金融学动能效应模型等工具对上述两个维度的问题进行深度研究和论证，发现各个角度中所涵盖的因素对以比特币和以太币为代表的数字货币价格的影响，同时涵盖了影响的方向和影响的层度，并构建多因素定价模型。
ContributorsLiu, Hongjie (Author) / Zhang, Zhongju (Thesis advisor) / Hu, Jie (Thesis advisor) / Zheng, Zhiqiang (Committee member) / Arizona State University (Publisher)
Created2023