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首页> 外文学位 >Essays in financial economics: Mental accounting and selling decisions of individual investors; Analysts' reputational concerns and underreaction to public news.
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Essays in financial economics: Mental accounting and selling decisions of individual investors; Analysts' reputational concerns and underreaction to public news.

机译：金融经济学论文：个人投资者的心理核算和出售决策；分析师的声誉关注和对公共新闻的反应不足。

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摘要

This dissertation studies how psychological and reputational considerations affect the behavior of individual investors and security analysts. The first essay examines investors' preference for framing their gains and losses using trading records of individual investors at a large discount brokerage firm. I find that investors tend to bundle sales of losers on the same day and separate sales of winners over different days. The result is consistent with the principles of mental accounting (Thaler (1985)), according to which individuals attain higher utility by integrating losses and segregating gains. Alternative explanations based on tax-loss selling strategies, margin calls, the number of winners and losers in a portfolio, the difference in the potential proceeds from selling winners and losers, and correlations among winners and losers in a portfolio do not fully account for the observed behavior. Logistic analyses show that investors are more likely to sell multiple stocks when they realize losses, after controlling for various factors including market and portfolio returns, overall sales activity during the day, and investor characteristics.; The second essay provides a theoretical and empirical analysis of analysts' incentives to incorporate public information in their earnings forecasts. The model show that analysts may underreact to public news due to their reputational concerns, and that an analyst's incentive to underreact to public information (1) decreases with the size of unexpected news; (2) decreases with the uncertainty of earnings; (3) increases with the analyst's initial reputation; and (4) increases with how much the analyst values his/her current reputation relative to forecast accuracy. I test the implications of the model and find that analysts underreact to earnings news less when the size of unexpected earnings is large, when there is more uncertainty about the earnings, and when they have long track records. The model also implies that the strategic biases of analysts can lead to divergent responses of forecasts to public announcements. Furthermore, the stock market may react to revisions in analysts' forecasts made in response to information that has already been incorporated into stock prices.
机译：本文研究了心理和声誉因素如何影响个人投资者和证券分析师的行为。第一篇文章使用一家大型折扣经纪公司的个人投资者的交易记录，研究了投资者偏好将其损益定为框架。我发现，投资者倾向于在同一天捆绑失败者的销售，而在不同日期分别捆绑赢家的销售。结果与心理会计原理（Thaler（1985））一致，根据该原理，个人通过整合损失和分离收益获得更高的效用。基于避税卖出策略，追加保证金，投资组合中获胜者和失败者的数量，出售获胜者和失败者的潜在收益的差异以及投资组合中获胜者和失败者之间的相关性的其他解释不能完全说明观察到的行为。逻辑分析表明，投资者在控制各种因素（包括市场和投资组合收益，当日的总体销售活动和投资者特征）后，当意识到亏损时更有可能出售多只股票。第二篇文章对分析师将公共信息纳入其盈利预测的动机进行了理论和实证分析。该模型表明，由于声誉问题，分析师可能对公共新闻的反应不充分，并且分析师对公共信息反应不足的动机（1）减少了突发新闻的规模; （2）随着收入的不确定性而降低; （3）增加分析师的初始声誉； （4）相对于预测准确性，分析师将其当前声誉提高多少。我测试了该模型的含义，发现当意外收益的规模很大，收益存在更多不确定性以及历史记录悠久时，分析师对收益消息的反应不足。该模型还暗示，分析师的战略偏见可能导致预测对公共公告的不同反应。此外，股票市场可能会对分析师的预测做出反应，以响应已经纳入股票价格的信息。

著录项

  • 作者

    Lim, Seongyeon.;

  • 作者单位

    The Ohio State University.;

  • 授予单位 The Ohio State University.;
  • 学科 Business Administration General.; Economics Finance.
  • 学位 Ph.D.
  • 年度 2003
  • 页码 106 p.
  • 总页数 106
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 贸易经济;财政、金融;
  • 关键词

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