Empirical essays on the stock market impact of limited investor attention

Jacobs, Heiko

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URL:	https://madoc.bib.uni-mannheim.de/29562
URN:	urn:nbn:de:bsz:180-madoc-295621
Dokumenttyp:	Dissertation
Erscheinungsjahr:	2011
Ort der Veröffentlichung:	Mannheim
Hochschule:	Universität Mannheim
Gutachter:	Weber, Martin
Datum der mündl. Prüfung:	28 November 2011
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Betriebswirtschaftslehre > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
Fachgebiet:	330 Wirtschaft
Fachklassifikation:	JEL: G12, G14,
Normierte Schlagwörter (SWD):	Kapitalmarkteffizienz , Aktienmarkt , Portfoliomanagement , Privater Anleger
Freie Schlagwörter (Englisch):	limited investor attention , market efficiency , investor distraction , local bias , pairs trading , twin stocks , asset allocation , trading activity , investor distraction , holiday effect , natural experiment , portfolio diversification , heuristics
Abstract:	The major goal of this thesis is to broaden and deepen the understanding on how limited investor attention affects economic aggregates in financial markets. In doing so, this thesis aims to contribute to a fundamental debate in behavioral economics: Do phenomena in individual behavior matter in that they extend to the market level? More specifically, this thesis consists of four distinct research projects. Each of the first three derives implications of limited investor attention for equilibrium outcomes at the stock-level, and then subsequently investigates their empirical validity in depth. In this way, the thesis uncovers and explains several novel patterns in turnover and return data. A fourth empirical study explores the relative performance of simple portfolio diversification strategies, whose design might be considered as meeting the needs of cognitively overloaded private investors.