AbstractTHREE ESSAYS IN BEHAVIORAL FINANCEByByoung-Hyoun HwangWhile not devoid of sentiment, self-interested rational decisionmakers in traditional economic models are assumed to be immune toits influence. The purpose of this dissertation is to explorewhether financial markets can be better...

We study the relation between order imbalance and past returns and firm characteristics and testa number of hypothesis including the disposition effect, momentum and contrarian trading, taxlossselling and flight-to-quality hypothesis. These hypotheses make predictions about investors’buy or...

Pairwise stock correlations increase by 27% on average when stock returns arenegative. It is trading activity in small stocks that leads to higher correlationswhen returns are negative. We provide evidence consistent with the hypothesisthat co-ordinated selling by retail investors drives this...

We examine active retail mutual funds and institutional products with a mandate to invest ininternational equity markets between 1991 and 2009. Using global and regional factor models,we find no reliable evidence of alphas in the aggregate or on average. The right tail of thedistribution...