Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2021

Stakes and Mistakes

Abhiroop MUKHERJEE, Kasper MEISNER NIELSEN, Steffen ANDERSEN
We provide causal evidence on one of the most prominent critiques of behavioral finance – that most of the evidence in psychology, which underpins the field, comes from experiments with little at stake for participants. How far do behavioral biases – leading to investment mistakes – get attenu...
Keywords: Behavioural finance, psychology, behavioural biases, Investment
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

Spillovers in Asset Prices: The Curious Case of Haunted Houses

Utpal BHATTACHARYA, Daisy HUANG, Kasper MEISNER NIELSEN
Exploiting the unique institutional setting of Hong Kong’s real estate market, we uncover a curious ripple effect of haunted houses on the prices of nearby houses. Prices drop on average 20% for units that become haunted, 10% for units on the same floor, 7% for units in the same block, and 1% for ...
Keywords: fire sales, Negative spillovers, Haunted houses
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2013

Speculative Investors and Transactions Tax: Evidence from the Housing Market

Wenlan QIAN, Bernard YEUNG, Yuming FU
This paper examines the impact of rising transaction tax on trade volume, price volatility and informativeness. We take advantage of a policy change in Singapore that effectively raised the transaction cost for real estate speculators in only one submarket. Based on a difference-indifferences analys...
Keywords: transaction tax, volatility, speculators, informed traders, noise traders
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Annual Conference

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Investment Finance

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May 2021

Smart(Phone) Investing? A within Investor-Time Analysis of New Technologies and Trading Behavior

Andreas HACKETHAL, Alessandro PREVITERO, Benjamin LOOS, Ankit KALDA
Using transaction-level data from two German banks, we study the effects of smartphones on investor behavior. Comparing trades by the same investor in the same month across different platforms, we find that smartphones increase the purchase of riskier, lottery-type, non-diversifying assets, and of p...
Keywords: FinTech, investor behavior, financial risk-taking, lottery-type assets, investment biases, trend chasing, spillover effects
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Short-Term Reversals: The Effects of Past Returns and Institutional Exits

Si CHENG, Allaudeen HAMEED, Sheridan TITMAN, Avanidhar SUBRAHMANYAM
We present a model where the magnitude of return reversals depends on the number of informed investors as well as the number of active but uninformed investors that play a market making role. Consistent with the model, return reversals are temporarily higher following declines in the number of activ...
Keywords: Short-Term Reversals, Liquidity provision
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