This book helps readers understand the widely documented distortion in the portfolio choice of individual investors toward proximate firms – the proximity bias phenomenon. First, it recapitulates the fundamentals of modern portfolio theory. It then goes on to describe and demonstrate different...

This paper examines cross regional differences in news tone, for the same news event, and relates it to trading activity of local and non-local investors. Using a combination of detailed investor and media data the results show that when news, particularly locally sourced news, is republished...

This paper examines cross regional differences in tone for the same news event and relates it to local trading activity. Using a combination of detailed investor and media data the paper shows that local individual investors seem to be significant net buyers of local stocks that are in the local...

This book helps readers understand the widely documented distortion in the portfolio choice of individual investors toward proximate firms - the proximity bias phenomenon. First, it recapitulates the fundamentals of modern portfolio theory. It then goes on to describe and demonstrate different...

Portfolio pumping is known as an “illegal” trading practice of inflating quarter-end and year-end portfolio returns. Using daily return data on U.S. domestic equity mutual funds we show that ESG funds do engage in portfolio pumping but this trading activity does not generate higher flows. On...

This paper examines the determinants of herding at both stock and individual investor levels and studies the portfolio performance of herd vs. non-herd portfolios using machine learning algorithms. The disposition effect and the attention effect seem to explain herding behavior at the stock...