Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.795170
Title: Essays on investor attention
Author: Matovic, Milica
ISNI:       0000 0004 8502 3489
Awarding Body: University of Essex
Current Institution: University of Essex
Date of Award: 2019
Availability of Full Text:
Access from EThOS:
Full text unavailable from EThOS. Thesis embargoed until 25 Dec 2024
Access from Institution:
Abstract:
This thesis investigates retail and institutional investor attention and their effects on the dynamics of asset pricing. First, it examines the attention implications on the liquidity of cross section of stocks, as well as seasonal patterns of investor attention. It documents that increased attention leads to improved liquidity, which is particularly prominent for stocks of smaller firms while large firms benefit far less from higher investor attention, as suggested by models of investor recognition. The findings also provide evidence of attention seasonality, demonstrating significantly higher levels of investor attention during the month of July, in line with the pre-holiday effect. Second, it examines investor attention on a recent sample of S&P 500 index additions in the context of anticipatory trading effects. It finds that risk arbitrageurs anticipate the outcome of the index review and purchase stocks that have a high likelihood of becoming new index members, exploiting the mean price increase that comes with the addition announcement. These findings are referred to as the pre-announcement index effect. Moreover, it documents that the observed effect is largely driven by low-beta stocks, consistent with the betting-against-beta investment style approach. Persistent volume and stock price changes following the index addition confirm investor attention hypothesis. Third, it studies inventor attention within the framework of M&A announcements, investigating whether market anticipation may be the cause of well documented pre-bid price run-up in target firms. It finds that investor attention to target firms significantly increases two weeks ahead of the M&A announcement. Given that surge in attention must be supported by a large population and is unlikely to be triggered by a few corporate insiders, the results suggest that the observed run-up is likely to be caused by investors' anticipation of the impending deals. Analysis of abnormal return and trading volume dynamics provide further evidence in support of this view.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.795170  DOI: Not available
Share: