Empirical essays on the stock market impact of limited investor attention

Jacobs, Heiko

Dissertation_Heiko_Jacobs_28112011_v2.pdf - Published

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URL: https://madoc.bib.uni-mannheim.de/29562
URN: urn:nbn:de:bsz:180-madoc-295621
Document Type: Doctoral dissertation
Year of publication: 2011
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Weber, Martin
Date of oral examination: 28 November 2011
Publication language: English
Institution: Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber -2017)
Subject: 330 Economics
Classification: JEL: G12, G14,
Subject headings (SWD): Kapitalmarkteffizienz , Aktienmarkt , Portfoliomanagement , Privater Anleger
Keywords (English): 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.

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