國立虎尾科技大學 |

Three Chapters on Investment.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Three Chapters on Investment./
Author:	Gong, Rui.
Description:	1 online resource (176 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 84-05, Section: A.
Contained By:	Dissertations Abstracts International84-05A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798352637203

Three Chapters on Investment.
Gong, Rui.

Three Chapters on Investment. - 1 online resource (176 pages)

Source: Dissertations Abstracts International, Volume: 84-05, Section: A.

Thesis (Ph.D.)--The Ohio State University, 2022.

Includes bibliographical references

In the first chapter of the dissertation, I study to what extent are institutional investors subject to representativeness bias. A stylized fact about hedge funds is that investors tend to "chase returns," meaning that they adjust their allocations substantially as a function of recent performance. I present an assessment model in which ability changes over time. In this model, chasing returns is profitable, since it moves investors' capital toward funds that happen to have ability at a particular moment in time. In addition, I present a variant of the model in which investors are subject to representativeness bias, leading them to weigh recent returns too heavily in forming assessments of ability. On a sample of 2,457 hedge funds between 1994 and 2017, I test a number of model hypotheses. The data suggests thatinvestors should weigh recent signals less for older funds than younger funds. In addition, persistence of managerial abilities varies substantially across types of funds. Persistence of ability is lower for "Event Driven" strategies than persistence of ability for fund managers using strategies based on skill at valuation such as "Global Macro". Thus, investors should weigh recent signals more for "Event Driven" funds and less for "Global Macro" funds. Last, investors are subject to representativeness bias in that they place more weight on recent returns than appears to be optimal. Expected returns vary considerably depending on how investors chase returns. Sorting funds by perceived ability, if investors chase returns optimally, the expected return of investing in top decile funds is 9.11% annually. The average investors with representativeness bias overreact to recent performance and only make 8.22% annually.In the second chapter, I study what are the benefits of having social media presence for firms. Using a proprietary dataset with daily records of social media metrics (including the number of followers, likes, check-ins, comments, and all historical tweets and posts) of firms" Facebook and Twitter homepages, I show firms with greater social media presences have higher future profitability. The result is robust to using CEO age as an instrumental variable. This is the first paper that establishes a causal relationship between social media activity and firm profitability. In addition, firms tweet more when there is a negative reputation shock, which shows that firms use social media platforms for damage control. Last, I find firms with greater social media presences generate higher returns. The return spread cannot be explained by risk factors. I find larger unexpected revenue and earnings surprises for firms with greater social media presence. The result suggests that the market does not fully price brand capital, an intangible asset that is difficult to value.In the third chapter, we study the growth and valuation of intangible customer capital in startups. We use Crunchbase as our main source for information on startups and use the number of Twitter followers as the proxy for a startup company's customer capital. We build a dynamic model, in which startup companies face trade-off between short-term profitability and growth in customer base. With a sample of more than 500 firms, we find that the amount of external funding is positively correlated with the number of followers. In addition, Firms in more competitive industries receive less funding than firms in other industries, all else equal. And firms founded by experienced founders receive more funding than other firms. Moreover, firms in more competitive industries accumulate a customer base faster than firms in other industries. Lastly, the positive correlation between customer base and external funding is larger in more contested markets than less contested markets. The result implies that valuation is aligned with customer base, especially in competitive markets.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798352637203Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Hedge fundsIndex Terms--Genre/Form:

554714
Electronic books.

Three Chapters on Investment.
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520 $a In the first chapter of the dissertation, I study to what extent are institutional investors subject to representativeness bias. A stylized fact about hedge funds is that investors tend to "chase returns," meaning that they adjust their allocations substantially as a function of recent performance. I present an assessment model in which ability changes over time. In this model, chasing returns is profitable, since it moves investors' capital toward funds that happen to have ability at a particular moment in time. In addition, I present a variant of the model in which investors are subject to representativeness bias, leading them to weigh recent returns too heavily in forming assessments of ability. On a sample of 2,457 hedge funds between 1994 and 2017, I test a number of model hypotheses. The data suggests thatinvestors should weigh recent signals less for older funds than younger funds. In addition, persistence of managerial abilities varies substantially across types of funds. Persistence of ability is lower for "Event Driven" strategies than persistence of ability for fund managers using strategies based on skill at valuation such as "Global Macro". Thus, investors should weigh recent signals more for "Event Driven" funds and less for "Global Macro" funds. Last, investors are subject to representativeness bias in that they place more weight on recent returns than appears to be optimal. Expected returns vary considerably depending on how investors chase returns. Sorting funds by perceived ability, if investors chase returns optimally, the expected return of investing in top decile funds is 9.11% annually. The average investors with representativeness bias overreact to recent performance and only make 8.22% annually.In the second chapter, I study what are the benefits of having social media presence for firms. Using a proprietary dataset with daily records of social media metrics (including the number of followers, likes, check-ins, comments, and all historical tweets and posts) of firms" Facebook and Twitter homepages, I show firms with greater social media presences have higher future profitability. The result is robust to using CEO age as an instrumental variable. This is the first paper that establishes a causal relationship between social media activity and firm profitability. In addition, firms tweet more when there is a negative reputation shock, which shows that firms use social media platforms for damage control. Last, I find firms with greater social media presences generate higher returns. The return spread cannot be explained by risk factors. I find larger unexpected revenue and earnings surprises for firms with greater social media presence. The result suggests that the market does not fully price brand capital, an intangible asset that is difficult to value.In the third chapter, we study the growth and valuation of intangible customer capital in startups. We use Crunchbase as our main source for information on startups and use the number of Twitter followers as the proxy for a startup company's customer capital. We build a dynamic model, in which startup companies face trade-off between short-term profitability and growth in customer base. With a sample of more than 500 firms, we find that the amount of external funding is positively correlated with the number of followers. In addition, Firms in more competitive industries receive less funding than firms in other industries, all else equal. And firms founded by experienced founders receive more funding than other firms. Moreover, firms in more competitive industries accumulate a customer base faster than firms in other industries. Lastly, the positive correlation between customer base and external funding is larger in more contested markets than less contested markets. The result implies that valuation is aligned with customer base, especially in competitive markets.
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