Empirical essays on the stock market impact of limited investor attention
Jacobs, Heiko
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URL:
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https://madoc.bib.uni-mannheim.de/29562
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URN:
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urn:nbn:de:bsz:180-madoc-295621
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Document Type:
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Doctoral dissertation
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Year of publication:
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2011
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Place of publication:
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Mannheim
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University:
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Universität Mannheim
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Evaluator:
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Weber, Martin
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Date of oral examination:
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28 November 2011
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Publication language:
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English
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Institution:
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Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
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Subject:
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330 Economics
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Classification:
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JEL:
G12, G14,
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Subject headings (SWD):
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Kapitalmarkteffizienz , Aktienmarkt , Portfoliomanagement , Privater Anleger
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Keywords (English):
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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
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Abstract:
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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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 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
 | Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt. |
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