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Learning (not) to trade: Lindy's law in retail traders
Godina, Teodor; Kassibrakis, Serge; Malamud, Semyon; … - 2020
We develop a rational model of trading behavior in which the agents gradually learn about their ability to trade, and … exit after poor trading performance. We demonstrate that it is optimal for experienced traders to "procrastinate" and … decisions produce non-trivial and non-monotonic population-wide linkages between performance, exits, and trading experience …
Persistent link: https://www.econbiz.de/10012419675
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On the usefulness of the contrarian strategy across national stock markets : a grid bootstrap analysis
Kim, Hyeongwoo - In: Journal of empirical finance 16 (2009) 5, pp. 734-744
Persistent link: https://www.econbiz.de/10003900389
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Can internet search queries help to predict stock market volatility?
Dimpfl, Thomas; Jank, Stephan - 2011 - First draft: October 10, 2011, This draft: October 25, 2011
This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...
Persistent link: https://www.econbiz.de/10009357284
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Market efficiency and behavioral biases in the WNBA betting market
Paul, Rodney J.; Weinbach, Andrew P. - In: International Journal of Financial Studies : open … 2 (2014) 2, pp. 193-202
The betting market for the Women's National Basketball Association (WNBA) is a thin financial market, which does not attract much interest from sports bettors. Given these characteristics, it is possible that profitable wagering strategies could exist for informed bettors of the WNBA. Using...
Persistent link: https://www.econbiz.de/10010373269
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2015
momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially … mutual funds, are momentum traders, whereas private households are contrarians. Contrarian trading by private households … momentum trading over time, we document substantial increase in sales of loser stocks by foreign and institutional investors …
Persistent link: https://www.econbiz.de/10010467770
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014
momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially … mutual funds, are momentum traders, whereas private households are contrarians. Contrarian trading by private households … momentum trading over time, we document substantial increase in sales of loser stocks by foreign and institutional investors …
Persistent link: https://www.econbiz.de/10010471006
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Does trading anonymously enhance liquidity?
Dennis, Patrick; Sandås, Patrik - 2014
Anonymous trading is the norm in today's financial markets but there are a few exceptions. We study one such case, the …. We exploit this quasi{ natural experiment to investigate the impact this change had on liquidity and trading behavior …
Persistent link: https://www.econbiz.de/10010414866
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Winning Probability Dynamics and the Disposition Effect
Wang, Adam Z.K. - 2011
This paper studies the unique statistical features of multi-period returns vs. single-period returns and examines their implications on I derive a closed form representation of the dynamic relation between winning probability and holding time, and then apply the theoretical results to studying...
Persistent link: https://www.econbiz.de/10013128526
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Behavioral Finance : An Introduction
Baltussen, Guido - 2011
This survey introduces and reviews the field of behavioral finance. It outlines the traditional finance approach, which builds upon rational acting investors, its assumptions, and its shortcomings. Moreover, it surveys the main findings from psychology and sociology that contrast with this...
Persistent link: https://www.econbiz.de/10013134285
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What's in a 'China' Name? A Test of Investor Attention Hypothesis
Bae, Kee-Hong - 2011
We study whether firm name affects investor attention and thereby firm valuation. Some Chinese firms listed on U.S. stock exchanges have the word “China” or “Chinese” included in their company names (“China-name stocks”), whereas others do not (“non-China-name stocks”). During...
Persistent link: https://www.econbiz.de/10013134652