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Individual and institutional investo...

Stoffman, Noah S.

Individual and institutional investor behavior.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Individual and institutional investor behavior.
Author:	Stoffman, Noah S.
Description:	152 p.
Notes:	Adviser: Tyler G. Shumway.
Notes:	Source: Dissertation Abstracts International, Volume: 69-09, Section: A, page: 3678.
Contained By:	Dissertation Abstracts International69-09A.
Subject:	Economics, Finance.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3328965
ISBN:	9780549820352

Individual and institutional investor behavior.
Stoffman, Noah S.

Individual and institutional investor behavior. - 152 p.

Adviser: Tyler G. Shumway.

Thesis (Ph.D.)--University of Michigan, 2008.

In the third chapter, I develop a method for classifying individual investor trades as "informed" or "uninformed." The method relies on a simple economic argument, and the classification is necessarily coarse. Nevertheless, in two large datasets of individual investor trading from the United States and Finland, trades classified as informed earn much better returns than trades classified as uninformed. Informed trades have permanent price impact while uninformed trades do not. The results show that some individual investors are able to trade on private information, contradicting earlier papers that argue that individual investors consistently make poor decisions.

ISBN: 9780549820352Subjects--Topical Terms:

212585
Economics, Finance.

Individual and institutional investor behavior.
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020 $a 9780549820352
035 $a 00372137
040 $a UMI $c UMI
100 $a Stoffman, Noah S. $3 321862
245 1 0 $a Individual and institutional investor behavior.
300 $a 152 p.
500 $a Adviser: Tyler G. Shumway.
500 $a Source: Dissertation Abstracts International, Volume: 69-09, Section: A, page: 3678.
502 $a Thesis (Ph.D.)--University of Michigan, 2008.
520 $a In the third chapter, I develop a method for classifying individual investor trades as "informed" or "uninformed." The method relies on a simple economic argument, and the classification is necessarily coarse. Nevertheless, in two large datasets of individual investor trading from the United States and Finland, trades classified as informed earn much better returns than trades classified as uninformed. Informed trades have permanent price impact while uninformed trades do not. The results show that some individual investors are able to trade on private information, contradicting earlier papers that argue that individual investors consistently make poor decisions.
520 $a The first chapter analyzes both the disposition effect and trading performance at the individual level to determine whether and how investors learn from their trading experience. The study finds that performance improves and the disposition effect declines as investors become more experienced, suggesting that investors learn by trading. A substantial part of this learning occurs when investors stop trading after learning about their poor ability rather than staying in the sample and improving their ability over time. By ignoring investor attrition, the existing literature significantly overestimates how quickly investors become better at trading. The learning estimates suggest that investors do not learn fast enough to prevent behavioral biases from affecting asset prices.
520 $a The second chapter examines the relation between price changes and the interaction of individual investors and financial institutions. I find significant support for the hypotheses that prices respond to the trading of financial institutions and that individual investors supply liquidity to meet the trading needs of institutions. In addition, when individuals trade with each other and prices move, institutions respond by trading to push prices toward previous levels. Taken together, the results indicate that institutional investors set prices.
590 $a School code: 0127.
650 $a Economics, Finance. $3 212585
690 $a 0508
710 $a University of Michigan. $3 212464
773 0 $g 69-09A. $t Dissertation Abstracts International
790 $a 0127
790 1 0 $a Shumway, Tyler G., $e advisor
791 $a Ph.D.
792 $a 2008
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3328965 $z http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3328965