Essays in empirical asset pricing and behavioral finance / submitted by Jan Philipp Harries. Wuppertal, June 2021
Content
- Preface
- Introduction
- Summary - Value by Design?
- Summary - The Choice
- Summary - If he's still in, I'm still in!
- Summary - Determinants of Blockholdership
- Value by Design?
- The Choice - Reviewing the Impact of Modeling Choices on the Fama and French Three-Factor-Model
- Introduction
- History of Choices and Literature Review
- Data and Variations
- Design Choices and Their Impact on Factor Characteristics
- Investing into Factor Models
- Design Choices and Their Impact on Asset Pricing
- Summary
- If he's still in, I'm still in! - How Reddit posts affect GameStop retail trading
- Introduction
- Retail Trading and r/WallStreetBets
- The importance of Retail Trading
- Prior Work on the Effect of Sentiment on the Stock Market
- Reddit and r/WallStreetBets
- Data and Methodology
- Results
- Regression Analysis of the Effect of WSB Comments on the Retail Trading Proportion
- Results of the Granger Causality Test
- Conclusion
- Determinants of Blockholdership
- Introduction
- Relevant Literature
- Regulatory Framework and Alternative Data Sources
- Explorative Analysis of Form 13-D and Form 13-G Filings
- Empirical Analysis of the Determinants of Blockholdership
- Conclusion and Next Steps
- Appendix 5.A - Additional Tables & Figures
- Appendix 5.B - Technical Details on Blockholder Parsing
- Appendix 5.C - Description of Columns in the Blockholder Database
- Bibliography