publication . Doctoral thesis . 2007

Essays on investor behavior and trading activity

Kyröläinen, P. (Petri);
Open Access English
  • Published: 17 Apr 2007
  • Publisher: University of Oulu
  • Country: Finland
Abstract This thesis investigates a set of equity market phenomena associated with investors' trading activity, using a comprehensive Finnish Central Securities Depository (FCSD) database that records practically all trades by Finnish investors. This database enables us to classify a large number of heterogeneous investors using both economic and institutional characteristics. The first essay classifies investors by trading activity. It analyzes trading styles of active and passive investors during the boom in technology stocks 1997–2000. We find that the herding tendency of active investors grew monotonically, year by year. Particularly large active investors u...
free text keywords: bid-ask spread, day trading, momentum trading, prospect theory, trading activity, volatility
Related Organizations
94 references, page 1 of 7

Admati A & Pfleider P (1988) A theory of intraday patterns: volume and price variability. Review of Financial Studies 1: 3-40. [OpenAIRE]

Amihud Y & Mendelson H (1986) Asset pricing and the bid-ask spread. Journal of Financial Economics 17: 223-249. [OpenAIRE]

Atkins A B & Dyl E A (1997) Transaction costs and holding periods for common stocks. Journal of Finance 52: 309-325. [OpenAIRE]

Avery C & Zemsky P (1998) Multidimensional uncertainty and herd behaviour in financial markets. American Economic Review 88: 724-748. [OpenAIRE]

Badrinath S & Wahal S (2002) Momentum trading by institutions. Journal of Finance 57: 2449- 2478. [OpenAIRE]

Banerjee A V (1992) A simple model of herd behavior. Quarterly Journal of Economics 107: 797- 817.

Barber B M, Lee Y T, Liu Y J & Odean (2004) Do individual day traders make money? Evidence from Taiwan. Unpublished working paper.

Barber B M, Odean T & Zhu N (2003) Systematic noise. Working paper.

Barber B M & Odean T (2001) Boys will be boys: Gender, overconfidence, and common stock investment. Quarterly Journal of Economics 116: 261-292. [OpenAIRE]

Barber B M & Odean T (2000) Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance 55: 773-806. [OpenAIRE]

Barberis N & Huang M (2001) Mental accounting, loss aversion, and individual stock returns. Journal of Finance 56: 1247-1292. [OpenAIRE]

Barberis N, Huang M & Santos T (2001) Prospect theory and asset prices. Quarterly Journal of Economics 116: 1-53.

Barberis N, Shleifer A & Vishny R (1998) A model of investor sentiment. Journal of Financial Economics 49: 307-343. [OpenAIRE]

Bernard V & Thomas J K (1989) Post-earnings announcement drift: delayed price response or risk premium? Journal of Accounting Research 27: 1-36.

Bernartzi S & Thaler R (1995) Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics 110: 73-92.

94 references, page 1 of 7
Any information missing or wrong?Report an Issue