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Individual stock investor sentiment, stock issuance, and financial market anomalies.
- Format:
- Book
- Thesis/Dissertation
- Author/Creator:
- Lee, Edmund Pak Kuen.
- Language:
- English
- Subjects (All):
- Finance.
- 0508.
- Penn dissertations--Finance.
- Finance--Penn dissertations.
- Local Subjects:
- Penn dissertations--Finance.
- Finance--Penn dissertations.
- 0508.
- Physical Description:
- 90 pages
- Contained In:
- Dissertation Abstracts International 75-01A(E).
- System Details:
- Mode of access: World Wide Web.
- text file
- Summary:
- There is an interaction effect between cross sectional variation in individual stock investor sentiment and a broad set of financial market anomalies. An average anomaly strategy earns higher (lower) 3-factor alpha conditioned on higher (lower) individual stock investor sentiment. This is mainly driven by the very negative alpha of the high sentiment conditioned short leg of each anomaly. Consequently, buying the low sentiment long leg of each anomaly and shorting the high sentiment short leg of each anomaly yields 0.434% to 0.474% more in monthly three-factor alpha than an unconditional anomaly strategy on average. In contrast, buying the high sentiment long leg of each anomaly and shorting the low sentiment short leg of each anomaly result in no alpha on average.
- I present novel evidence that the financial market anomalies are mispricings: firms act as arbitrageurs and tend to issue shares if they are in the short leg of an anomaly. In contrast, firms tend to repurchase shares and/or pay cash dividends if they are in the long leg of an anomaly. Individual stock investor sentiment exaggerates these effects. In particular, firms in the high sentiment short leg of anomalies trade equity ownership for cash or services (e.g. issuance of shares) while firms in the low sentiment long leg of anomalies pay or trade cash for equity ownership (e.g. cash dividends). The difference, measured using the Daniel and Titman (2006) composite issuance measure, is on average 0.535% to 0.632% per month. This is stronger than the unconditional effect by 0.132% to 0.351% per month.
- Notes:
- Thesis (Ph.D. in Finance) -- University of Pennsylvania, 2013.
- Source: Dissertation Abstracts International, Volume: 75-01(E), Section: A.
- Adviser: Donald B. Keim.
- Local Notes:
- School code: 0175.
- ISBN:
- 9781303396373
- Access Restriction:
- Restricted for use by site license.
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