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