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- Anchev, Stefan, 1986-
(författare)
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Information and financial markets
- 2018
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- The results in this thesis are consistent with the hypotheses that: 1) the incomplete dissemination of information across investors helps in explaining the occurrence and the persistence of cross-sectional stock return anomalies, 2) the properties of the investor base of a stock have implications for the informativeness of the stock's price and 3) a greater quantity of firm disclosure places less sophisticated investors at an information disadvantage. Overall, the thesis provides new empirical evidence about the role of information in financial markets.Investor Base and Stock Return AnomaliesAfter controlling for market capitalization, the predictability of future stock returns associated with each of the earnings-to-price ratio, the book-to-market ratio, the past return, the total volatility of returns and the return on assets is more pronounced among stocks with smaller total and/or institutional investor bases. These results appear even after controlling for several other stock characteristics and potential risk factors and they are both statistically and economically meaningful. Thus, they are consistent with the hypothesis that the incomplete dissemination of information across investors helps in explaining the occurrence and the persistence of cross-sectional stock return anomalies.Investor Base and Stock Price InformativenessThe relative idiosyncratic volatility of future stock returns is: 1) negatively associated with the absolute size of the total and the institutional investor base, 2) positively associated with the institutional ownership, 3) negatively (positively) associated with the average stock portfolio size (Herfindahl index) of the investor base and 4) positively associated with the indirect (i.e., through nominees) ownership. These results appear after controlling for several other stock characteristics and they are both statistically and economically meaningful. Thus, they are consistent with the hypothesis that the properties of the investor base of a stock have implications for the informativeness of the stock's price.Individual Investors and Quantity of Firm DisclosureWhen the amount of information disclosed by a firm is greater (or increases), the stock portfolio weights that individual investors allocate (through trading) to that firm's stock are lower (or decrease) and suboptimal. The former result is less pronounced or nonexistent for more financially competent individuals and for positions in firms with a poorer information environment. When they do allocate greater portfolio weights to the stock of a firm that discloses more, individuals, regardless of their financial competence, earn lower returns. Overall, these results are consistent with the hypothesis that a greater quantity of firm disclosure places less sophisticated investors at an information disadvantage.
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| 2. |
- Stålnacke, Oscar, 1988-
(författare)
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What do you expect? : individual investors' subjective expectations, information usage, and social interactions in financial decision-making
- 2017
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of an introductory part and four self-contained papers related to individual investors’ subjective expectations and their financial behavior. Paper [I] analyzes multiple measures of individual investors’ expectations of risk and return using survey data on a random sample of individual investors in Sweden. The results indicate that, even though expectations from different measures are correlated, the magnitude of especially the risk expectations varies considerably between measures. The variations in the expectations mainly relate to differences in the responses to the questions underlying the different measures, rather than to the methods used to obtain them. Evaluation of the measures using three different comparisons indicates that the expectation measure proposed by Dominitz and Manski (2011) is the only measure for which it is possible to distinguish between individuals’ expectations using all of the considered comparisons.Paper [II] addresses the relationship between sophistication and the expectations of individual investors with respect to risk and return. The findings show that sophisticated investors have lower (higher) risk (return) expectations that are closer to objective measures than less sophisticated investors. These results are important, since they enhance the understanding of the underlying mechanisms through which sophistication could influence individuals’ financial decisions.Paper [III] provides new evidence for the sources of information individual investors’ use when making financial decisions and the relationship between how frequently investors use this information and their expectations of the risk and return in a stock market index, their confidence in these expectations, and their portfolio risk and return. The findings indicate that individual investors use different sources of filtered financial information (e.g., information packaged by a professional intermediary) more frequently than unfiltered financial information (e.g., information from annual reports and financial statements). However, an increase in the frequency with which investors use filtered financial information is positively related to their confidence in their stock-market expectations and to the risk in their stock portfolios. For investors who instead use unfiltered financial information more frequently than filtered financial information, the results indicate that they have more accurate stock-market expectations, lower portfolio risk, and higher portfolio return.Paper [IV] links individual investors’ financial risk-taking to the behavior of peers within their community. By using detailed data at the individual level, it is found that the risk-taking among peers affects individuals’ choice of portfolio risk. The results hold for the full sample of individuals concerning their choice of the overall proportion of risky assets and stock market participants’ choice of total and systematic stock-portfolio risk. Overall, the results stress that interaction with peers is an important channel through which individual risk-taking is affected.
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| 3. |
- Lapanan, Nicha, 1987-
(författare)
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Individual investors and socially responsible mutual funds
- 2018
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis examines the behavior of individual investors towards socially responsible mutual funds. The results are reported in the four self-contained papers.Paper [I] profiles SR individual investors. An understanding of SR investors' characteristics is important for the development of hypotheses and for understanding the adoption of SR investing. We find evidence indicating, for example, that females, more educated, relatively older individuals, those with higher wealth and those living in municipalities with a higher proportion of SR investors are more likely to hold SR equity mutual funds.Paper [II] studies the relation between investments of adult children and their parents. The paper explores the importance of parent-child socialization in the formation of prosocial behavior. The study contributes to the understanding of when prosocial behavior is formed and how parent-child relationships influence it. We find evidence that there is a correlation between parents and children in the investment in SR mutual funds and that parental resources and parental experience are influential in the transmission of this prosocial behavior.Paper [III] documents individual investors' trading behavior in relation to SR equity mutual funds. Results indicate that SR investors are less likely to sell SR than conventional fund as past negative returns decrease. Nonetheless, fund flows of SR and conventional funds are similarly sensitive to past returns. There is, however, evidence that sticky SR investors' fund flows are more sensitive to past positive returns and are less sensitive to past negative returns on their SR than on their conventional funds. Despite sticky SR investors showing behavior in line with values-driven motives, they also appear to be less likely to reinvest in SR than in conventional funds.Paper [IV] examines whether SR investors are willing to forgo higher returns to invest responsibly. Based on administrative data on individual investors' equity mutual fund portfolios, it is found that socially responsible (SR) investors forgo return by investing in a socially responsible manner. In comparison with similar conventional investors (in terms of characteristics), SR investors have an equal performance on their non-SR part of their total portfolio, but an inferior performance on their SR part. Analysis of individuals' money flows to funds further indicate that fund flows of SR investors who invest in only SR funds are less sensitive to past returns. Given that investors who value non-financial fund attributes, e.g., ethical or social, may be presumed to care less about the financial performance, the results lend support to an investment behavior, at least partly, driven by prosocial concerns. Taken together, the findings favor the interpretation that some individuals willingly forgo higher financial returns to invest in accordance with their social preferences.
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