Retail investor sentiment and behavior [Elektronische Ressource] : an empirical analysis / von Matthias Burghardt

Mburghardt

Informations

• Publié par: karlsruher_institut_fur_technologie
• Publié le: 01 janvier 2010
• Nombre de lectures: 25
• Langue: English
• Poids de l'ouvrage: 2 Mo

Extrait

Retail Investor Sentiment and Behavior
– an Empirical Analysis
Zur Erlangung des akademischen Grades eines
Doktors der Wirtschaftswissenschaften

(Dr. rer. pol.)

von der Fakultät für
Wirtschaftswissenschaften
des Karlsruher Instituts für Technologie
genehmigte

DISSERTATION

von
Dipl.-Inform.Wirt Matthias Burghardt


Tag der mündlichen Prüfung: 12. Mai 2010
Referent: Prof. Dr. Christof Weinhardt
Korreferentin: Prof. Dr. Marliese Uhrig-Homburg

2010 Karlsruhe
Acknowledgements
I am indebted to many people for their support throughout the preparation of this thesis.
In particular, I am grateful to my advisor Prof. Dr. Christof Weinhardt who gave me his
support and advice while granting me the freedom to explore different ways to combine
academic rigor and practical relevance in interdisciplinary research.
In addition, I would like to thank Prof. Dr. Marliese Uhrig-Homburg for co-advising
this thesis. My thanks also go to Prof. Dr. Ute Werner and Prof. Dr. Ingrid Ott for
serving on the board of examiners.
I would like to thank my colleagues from the research group Information and Market
Engineering at the Institute of Information Systems and Management (IISM) for many
fruitful discussions and their valuable comments. I am grateful to Dr. Henner Gimpel
who was always ready to discuss problems with me and to share his ideas how to solve
them. I also thank Dr. Stefan Seifert for his advice on the direction of this work. Many
thanks also go to Dr. Ryan Riordan for being my co-author on many papers and for
providing me with encouragement and support. Ryan Riordan and Martin Wagener
deserve special thanks for proofreading major parts of the thesis and for providing me
with constructive comments.
Parts of this research have been done while I enjoyed the hospitality of London
Business School. I am grateful to Prof. Bruce Weber who made this possible.
Finally, I would like to express my gratitude to Oliver Hans, Dr. Christoph Mura, and
Christoph Lammersdorf for their constant support while I was research fellow at Boerse
Stuttgart. This work would not have been possible without their commitment and
dedication to this project.

Matthias Burghardt

Table of Contents ii
Table of Contents
Abbreviations ................................................................................................ v 
List of Figures ............................................................................................. vii 
List of Tables .............................................................................................. viii 
1  Introduction ............................................................................................ 1 
1.1.  Motivation .......................................................................................................... 1 
1.2.  Research Outline ................................................................................................ 3 
1.3.  Overview and Structure ...................................................................................... 7 
1.4.  Related Publications ........................................................................................... 8 
2  Related Theoretical and Empirical Work ............................................. 10 
2.1.  Introduction to Behavioral Finance .................................................................. 10 
2.1.1.  Are Financial Markets Efficient? .............................................................. 10 
2.1.2.  Challenges to Efficient Markets ............................................................... 12 
2.1.3.  Emergence of Behavioral Finance ............................................................ 14 
2.2.  Theoretical Work ............................................................................................. 17 
2.3.  Empirical Work ................................................................................................ 21 
2.3.1.  Noise Traders ............................................................................................ 21 
2.3.2.  Investor Sentiment .................................................................................... 22 
2.3.3.  Individual Investors .................................................................................. 23 
2.3.4.  Correlated Trading 23 
2.4.  Discussion ........................................................................................................ 25 
2.4.1.  Behavioral Finance ................................................................................... 25 
2.4.2.  Correlated Trading 26 
2.4.3.  Return Correlation 30 
2.4.4.  Market Efficiency ..................................................................................... 33 
2.5.  Conclusion ........................................................................................................ 34 
3  Investor Sentiment Construction .......................................................... 36 
3.1.  Classification of Sentiment Measures .............................................................. 36 
3.1.1.  Related Work ............................................................................................ 36 
3.1.2.  Advantages and Disadvantages ................................................................ 38 
3.2.  Sentiment Measures in Research ..................................................................... 39 
3.2.1.  The Closed-End Funds Discount 39 
3.2.2.  Meta-Measures .......................................................................................... 42 Table of Contents iii
3.3.  Sentiment Measures in Practice ....................................................................... 45 
3.3.1.  Survey-based Measures ............................................................................ 45 
3.3.2.  Market-data-based Measures .................................................................... 52 
3.3.3.  Meta-Measures .......................................................................................... 56 
3.3.4.  Summary Statistics ................................................................................... 57 
3.4.  Evaluation of Sentiment Measures ................................................................... 59 
3.4.1.  Direct Sentim59 
3.4.2.  Indirect Sentim61 
3.4.3.  Direct vs. Indirect Sentiment Measures .................................................... 63 
3.4.4.  Sentiment Measures vs. Market Returns .................................................. 66 
3.4.5.  Review of Results ..................................................................................... 69 
3.5.  Conclusion ........................................................................................................ 69 
4  Construction of the Euwax Sentiment Index ....................................... 71 
4.1.  Introduction ...................................................................................................... 71 
4.1.1.  Securitized Derivatives ............................................................................. 71 
4.1.2.  European Warrant Exchange .................................................................... 75 
4.1.3.  Key Facts .................................................................................................. 75 
4.2.  Data Set ............................................................................................................ 76 
4.3.  Basic Index Calculation ................................................................................... 79 
4.4.  Sentiment Analysis ........................................................................................... 82 
4.4.1.  Number vs. Volume Based Measures ....................................................... 82 
4.4.2.  Product Types 85 
4.4.3.  Order Types .............................................................................................. 86 
4.4.4.  Order Volume Groups .............................................................................. 86 
4.4.5.  Submitted Orders ...................................................................................... 87 
4.4.6.  Leverage .................................................................................................... 88 
4.5.  Comparison with other Sentiment Measures ................................................... 89 
4.5.1.  Indirect Sentiment Measures .................................................................... 90 
4.5.2.  Direct Sentim....................................................................... 92 
4.5.3.  Review of Results ..................................................................................... 95 
4.6.  Conclusion ...........