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Information Processing, Social Influ...

Weerts, Xunxuan.

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Information Processing, Social Influence and Learning Among Investors: Insight From Corporate Misconduct, Technical Trading and Online Forum.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Information Processing, Social Influence and Learning Among Investors: Insight From Corporate Misconduct, Technical Trading and Online Forum./
Author:	Weerts, Xunxuan.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2024,
Description:	106 p.
Notes:	Source: Dissertations Abstracts International, Volume: 85-08, Section: B.
Contained By:	Dissertations Abstracts International85-08B.
Subject:	Finance. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30987844
ISBN:	9798381742091

Information Processing, Social Influence and Learning Among Investors: Insight From Corporate Misconduct, Technical Trading and Online Forum.
Weerts, Xunxuan.

Information Processing, Social Influence and Learning Among Investors: Insight From Corporate Misconduct, Technical Trading and Online Forum. - Ann Arbor : ProQuest Dissertations & Theses, 2024 - 106 p.

Source: Dissertations Abstracts International, Volume: 85-08, Section: B.

Thesis (Ph.D.)--Rutgers The State University of New Jersey, School of Graduate Studies, 2024.

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

This dissertation consists of three essays. It connects the overarching theme of the Adaptive Market Hypothesis and Market Microstructure in term of information diffusion and decision making related to stock market dynamics. By scrutinizing the behavioral emergent phenomena, this dissertation offers novel insights on how the information gets disseminated into the market, and how heterogeneous and bounded rational agents extract information and make trading decisions in a dynamic and uncertain environment, along with a nuanced understanding of how behavioral heuristics, cognitive and emotional biases, learning, and social interactions affect the dynamics and efficiency of financial markets.Essay 1: Does The Stock Market Punish Corporate Malfeasance? A Case Study of CitigroupThis paper examines how well the market anticipates regulatory sanction. We look at key dates of SEC, NASD, FTC, Congressional and foreign investigations and their subsequent resolution. Our event study confirms that the settlements provide little new information to the market. In six major case groupings, we find highly accurate predictions from market capitalization changes of settlements and associated private litigation.Essay 2: Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room·We analyze the trading activity in an Internet chat room over a four-year period. The dataset contains nearly 9,000 trades from 676 traders. We found these traders are more skilled than retail investors analyzed in other studies. 55% make profits after transaction costs, and they have statistically significant α's of 0.17% per day after controlling for the Fama-French factors and momentum. Traders hold their winners 25% longer than their losers. 42% trade both long and short, with equal success rates, and almost double the profit per trade when short. The estimates show a strong influence from other traders, with a buy (sell) order 40.7% more likely to be of the same sign if there has been a recent post. Traders improve their skill over time, earning an extra $189 per month for each year of trading experience. They also gain expertise in trading particular stocks. Traders who raise their Herfindahl index by 0.1 raise their profitability by $46 per trade.Essay 3: Highs and Lows: A Behavioral and Technical AnalysisThe paper investigates the relationship between trading volume (turnover) and n-day highs and lows in stock prices to understand traders' reliance on these signals. We find that turnover rises on n-day highs and lows and is an increasing function of n. We offer several explanations from the technical and behavioral finance literature for why traders might use these signals. Turnover is persistent following these events, and new lows provide abnormal returns for up to 6 trading days.

ISBN: 9798381742091Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Behavioral economics

Information Processing, Social Influence and Learning Among Investors: Insight From Corporate Misconduct, Technical Trading and Online Forum.
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500 $a Source: Dissertations Abstracts International, Volume: 85-08, Section: B.
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502 $a Thesis (Ph.D.)--Rutgers The State University of New Jersey, School of Graduate Studies, 2024.
506 $a This item must not be sold to any third party vendors.
520 $a This dissertation consists of three essays. It connects the overarching theme of the Adaptive Market Hypothesis and Market Microstructure in term of information diffusion and decision making related to stock market dynamics. By scrutinizing the behavioral emergent phenomena, this dissertation offers novel insights on how the information gets disseminated into the market, and how heterogeneous and bounded rational agents extract information and make trading decisions in a dynamic and uncertain environment, along with a nuanced understanding of how behavioral heuristics, cognitive and emotional biases, learning, and social interactions affect the dynamics and efficiency of financial markets.Essay 1: Does The Stock Market Punish Corporate Malfeasance? A Case Study of CitigroupThis paper examines how well the market anticipates regulatory sanction. We look at key dates of SEC, NASD, FTC, Congressional and foreign investigations and their subsequent resolution. Our event study confirms that the settlements provide little new information to the market. In six major case groupings, we find highly accurate predictions from market capitalization changes of settlements and associated private litigation.Essay 2: Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room·We analyze the trading activity in an Internet chat room over a four-year period. The dataset contains nearly 9,000 trades from 676 traders. We found these traders are more skilled than retail investors analyzed in other studies. 55% make profits after transaction costs, and they have statistically significant α's of 0.17% per day after controlling for the Fama-French factors and momentum. Traders hold their winners 25% longer than their losers. 42% trade both long and short, with equal success rates, and almost double the profit per trade when short. The estimates show a strong influence from other traders, with a buy (sell) order 40.7% more likely to be of the same sign if there has been a recent post. Traders improve their skill over time, earning an extra $189 per month for each year of trading experience. They also gain expertise in trading particular stocks. Traders who raise their Herfindahl index by 0.1 raise their profitability by $46 per trade.Essay 3: Highs and Lows: A Behavioral and Technical AnalysisThe paper investigates the relationship between trading volume (turnover) and n-day highs and lows in stock prices to understand traders' reliance on these signals. We find that turnover rises on n-day highs and lows and is an increasing function of n. We offer several explanations from the technical and behavioral finance literature for why traders might use these signals. Turnover is persistent following these events, and new lows provide abnormal returns for up to 6 trading days.
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