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Essays on The Disposition Effect and...

Han, Hope Hyeun.

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Essays on The Disposition Effect and Asset Prices.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on The Disposition Effect and Asset Prices./
Author:	Han, Hope Hyeun.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2019,
Description:	88 p.
Notes:	Source: Dissertations Abstracts International, Volume: 81-04, Section: B.
Contained By:	Dissertations Abstracts International81-04B.
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13857562
ISBN:	9781085790161

Essays on The Disposition Effect and Asset Prices.
Han, Hope Hyeun.

Essays on The Disposition Effect and Asset Prices. - Ann Arbor : ProQuest Dissertations & Theses, 2019 - 88 p.

Source: Dissertations Abstracts International, Volume: 81-04, Section: B.

Thesis (Ph.D.)--The Florida State University, 2019.

This item must not be sold to any third party vendors.

This dissertation is comprised of two essays that focus on the role of disposition effect to market reactions in seasoned equity offerings and the importance of considering the dynamics of reference price in disposition effect. The first essay investigates the association between the disposition effect and the stock price reaction to announcements of seasoned equity offers (SEOs). I find that SEO issuing firms in which investors have greater unrealized capital gains exhibit a more severe SEO announcement reaction. This result is consistent with the well-known disposition effect, whereby investors tend to sell stocks in which they have unrealized capital gains and hold stocks with unrealized losses. I also find supporting evidence that investors' behavioral biases contribute more to SEO announcement reactions for firms with lower institutional ownership. The results suggest that the disposition effect can influence SEO announcement reactions.In the second essay I study the disposition effect using highest price as a reference point. Recent literature shows that investors' selling propensity is V-shaped with respect to unrealized profits, challenging the predicted monotonic relationship. I find that such monotonic relationship exists between the selling propensity and the perceived return when gains and losses are measured relative to a new reference point: the highest price experienced by the investor since purchase. I find consistent evidence when using the highest price in the past 52 weeks as a reference point. Further evidence shows that stocks with higher perceived returns subsequently underperform. Overall, my findings suggest that accounting for the dynamics of the reference point in measuring perceived trading profits is crucial for understanding the disposition effect, and that the highest-price-based disposition effect may be driven by informed trading.

ISBN: 9781085790161Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Disposition effect

Essays on The Disposition Effect and Asset Prices.
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245 1 0 $a Essays on The Disposition Effect and Asset Prices.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2019
300 $a 88 p.
500 $a Source: Dissertations Abstracts International, Volume: 81-04, Section: B.
500 $a Advisor: Autore, Don M.
502 $a Thesis (Ph.D.)--The Florida State University, 2019.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be added to any third party search indexes.
520 $a This dissertation is comprised of two essays that focus on the role of disposition effect to market reactions in seasoned equity offerings and the importance of considering the dynamics of reference price in disposition effect. The first essay investigates the association between the disposition effect and the stock price reaction to announcements of seasoned equity offers (SEOs). I find that SEO issuing firms in which investors have greater unrealized capital gains exhibit a more severe SEO announcement reaction. This result is consistent with the well-known disposition effect, whereby investors tend to sell stocks in which they have unrealized capital gains and hold stocks with unrealized losses. I also find supporting evidence that investors' behavioral biases contribute more to SEO announcement reactions for firms with lower institutional ownership. The results suggest that the disposition effect can influence SEO announcement reactions.In the second essay I study the disposition effect using highest price as a reference point. Recent literature shows that investors' selling propensity is V-shaped with respect to unrealized profits, challenging the predicted monotonic relationship. I find that such monotonic relationship exists between the selling propensity and the perceived return when gains and losses are measured relative to a new reference point: the highest price experienced by the investor since purchase. I find consistent evidence when using the highest price in the past 52 weeks as a reference point. Further evidence shows that stocks with higher perceived returns subsequently underperform. Overall, my findings suggest that accounting for the dynamics of the reference point in measuring perceived trading profits is crucial for understanding the disposition effect, and that the highest-price-based disposition effect may be driven by informed trading.
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650 4 $a Marketing. $3 536353
650 4 $a Economic theory. $3 1556984
650 4 $a Economics. $3 517137
650 4 $a Behavioral psychology. $3 2122788
653 $a Disposition effect
653 $a Reference point
653 $a Seasoned Equity Offers
653 $a Unrealized capital gains
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856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13857562