國立虎尾科技大學 |

Essays on Investor Heterogeneity in Equity Markets.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays on Investor Heterogeneity in Equity Markets./
作者:	Noh, Dong Woo.
面頁冊數:	1 online resource (172 pages)
附註:	Source: Dissertations Abstracts International, Volume: 84-12, Section: A.
Contained By:	Dissertations Abstracts International84-12A.
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9798379718251

Essays on Investor Heterogeneity in Equity Markets.
Noh, Dong Woo.

Essays on Investor Heterogeneity in Equity Markets. - 1 online resource (172 pages)

Source: Dissertations Abstracts International, Volume: 84-12, Section: A.

Thesis (Ph.D.)--Princeton University, 2023.

Includes bibliographical references

This dissertation examines asset pricing implications of investor heterogeneity in equity markets. Chapters 1 and 2 study differences between retail investors and institutional investors, while Chapter 3 focuses on heterogeneity among different institutions.Chapter 1 studies retail investor trading behavior around stock-level trading pauses in Korea, which are triggered after extreme intraday price movements. The stated goals of this market intervention tool are investor protection and price stability. However, I find no significant improvement in measures of price stability, and instead find unintended negative consequences on retail investors. Because trading pauses are salient events, retail investors trade excessively once pauses are triggered, and they trade in the wrong direction by betting on price continuation. Trading pauses become a window of wealth transfer from retail to institutional investors, and estimates for the wealth transfer and trading costs together amount to approximately USD 350 million per annum.Chapter 2 (co-authored with Stella Park and Alfred Qi Fan) studies the "overnight-intraday return gap." In both developed and emerging stock markets, overnight (close-to-open) returns are higher relative to intraday (open-to-close) returns. We propose a noise trader-based explanation for this overnight-intraday return gap. We use exact and exhaustive retail investor trade flow data available for the Korean stock market to establish the relationship between the overnight-intraday return gap and retail investor intensity. Furthermore, we use the pandemic-induced retail trading frenzy as a shock to retail trading intensity to address endogeneity concerns.Chapter 3 (co-authored with Sangmin Oh and Jihong Song) shifts the focus to the US market and studies the heterogeneity in investor demand for sustainable equity investing. We measure firm-level sustainability across three dimensions: third-party environment scores, emissions, and green patents. Separately estimated institutional investor demands are sensitive to scores and emissions, but not to green patents. We then aggregate these heterogeneous demands in an equilibrium framework to draw implications for the effectiveness of sustainable investing: (i) price-elastic investors do not "undo" effects of sustainable investors, (ii) investor pressure for sustainability only weakly predicts future improvements in firm sustainability, and (iii) incorporating green patents into ESG ratings can be a valuable adjustment.

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

Mode of access: World Wide Web

ISBN: 9798379718251Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Retail investor behaviorIndex Terms--Genre/Form:

554714
Electronic books.

Essays on Investor Heterogeneity in Equity Markets.
LDR:03868ntm a22003857 4500 001 1145688
005 20240711091751.5
006 m o d
007 cr bn ---uuuuu
008 250605s2023 xx obm 000 0 eng d
020 $a 9798379718251
035 $a (MiAaPQ)AAI30492087
035 $a AAI30492087
040 $a MiAaPQ $b eng $c MiAaPQ $d NTU
100 1 $a Noh, Dong Woo. $3 1470884
245 1 0 $a Essays on Investor Heterogeneity in Equity Markets.
264 0 $c 2023
300 $a 1 online resource (172 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertations Abstracts International, Volume: 84-12, Section: A.
500 $a Advisor: Yogo, Motohiro;Xiong, Wei.
502 $a Thesis (Ph.D.)--Princeton University, 2023.
504 $a Includes bibliographical references
520 $a This dissertation examines asset pricing implications of investor heterogeneity in equity markets. Chapters 1 and 2 study differences between retail investors and institutional investors, while Chapter 3 focuses on heterogeneity among different institutions.Chapter 1 studies retail investor trading behavior around stock-level trading pauses in Korea, which are triggered after extreme intraday price movements. The stated goals of this market intervention tool are investor protection and price stability. However, I find no significant improvement in measures of price stability, and instead find unintended negative consequences on retail investors. Because trading pauses are salient events, retail investors trade excessively once pauses are triggered, and they trade in the wrong direction by betting on price continuation. Trading pauses become a window of wealth transfer from retail to institutional investors, and estimates for the wealth transfer and trading costs together amount to approximately USD 350 million per annum.Chapter 2 (co-authored with Stella Park and Alfred Qi Fan) studies the "overnight-intraday return gap." In both developed and emerging stock markets, overnight (close-to-open) returns are higher relative to intraday (open-to-close) returns. We propose a noise trader-based explanation for this overnight-intraday return gap. We use exact and exhaustive retail investor trade flow data available for the Korean stock market to establish the relationship between the overnight-intraday return gap and retail investor intensity. Furthermore, we use the pandemic-induced retail trading frenzy as a shock to retail trading intensity to address endogeneity concerns.Chapter 3 (co-authored with Sangmin Oh and Jihong Song) shifts the focus to the US market and studies the heterogeneity in investor demand for sustainable equity investing. We measure firm-level sustainability across three dimensions: third-party environment scores, emissions, and green patents. Separately estimated institutional investor demands are sensitive to scores and emissions, but not to green patents. We then aggregate these heterogeneous demands in an equilibrium framework to draw implications for the effectiveness of sustainable investing: (i) price-elastic investors do not "undo" effects of sustainable investors, (ii) investor pressure for sustainability only weakly predicts future improvements in firm sustainability, and (iii) incorporating green patents into ESG ratings can be a valuable adjustment.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
653 $a Retail investor behavior
653 $a Sustainable investing
653 $a Green patents
653 $a Firm sustainability
653 $a Equity markets
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
690 $a 0338
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Princeton University. $b Economics. $3 1179198
773 0 $t Dissertations Abstracts International $g 84-12A.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30492087 $z click for full text (PQDT)