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Investor heterogeneity: Price momentum and trading volume reactions of foreign listed firms

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dc.contributor.advisor Aybar, Bulent
dc.contributor.author Zhang, Yan
dc.date.accessioned 2020-04-16T13:58:14Z
dc.date.available 2020-04-16T13:58:14Z
dc.date.issued 2018-09-27
dc.identifier.uri http://hdl.handle.net/10474/3578
dc.description.abstract Investor homogeneity is an important assumption in the efficient market hypothesis. However, viewing the financial markets from the eye of a professional trader, they are never efficient. Financial markets are composed of heterogeneous investors with the aims of speculation. Due to the large gap between theory and reality, many anomalies often occur. Price momentum as one of the commonly seen anomalies attracts the most attention from both scholars and practitioners. Prior finance literature documents that momentum is caused by investors’ differential beliefs or investor heterogeneity. Recognizing the importance of investor heterogeneity prompts scholars to incorporate it into asset pricing models, but they face a series of challenges. The objective of this study is to address the current challenges of quantifying and testing predictions on investor heterogeneity. By analyzing investors’ compositions, I argue that foreign listed firms are natural habitats of diverse investors. Compared with pure US firms, foreign listed firms provide perfect market venues to study investor heterogeneity. Using stock data of 2,200 NYSE and NASDAQ firms from 2000 to 2017, I classified them into higher/low order foreign listed firms and pure US firms. Momentum is tested by the Winner and Loser strategy, while trading volume is modeled by a regression of absolute return on volume turnover. This study finds that the three groups of firms have long term momentum in decreasing order, and investor heterogeneity plays an important role in price momentum. From phenomenon to essence, this study constructs a novel paradigm to quantify and forecast investor heterogeneity. It is also the first study to investigate the microstructural explanation of momentum and trading volume, and to state the relationship between liquidity and heterogeneity. The “Two Period Order Flow Model” and the “Heterogeneous Market Hypothesis(HMH)” also have important implications and contributions in both academics and industry. The conclusions of this research can benefit professional traders and option strategists in designing their trading strategies; it can help researchers avoid using proxied variables to quantify investor heterogeneity, build heterogeneous asset pricing models and create theoretical foundations for technical analysis; the HMH is also an alternative theory in challenging the EMH; and it can also help regulators better understand the financial markets. (Author abstract) en_US
dc.language.iso en_US en_US
dc.publisher Southern New Hampshire University en_US
dc.relation.requires Adobe Acrobat Reader en_US
dc.rights Author retains all ownership rights. Further reproduction in violation of copyright is prohibited en_US
dc.subject.lcsh Southern New Hampshire University -- Theses (International Business) en_US
dc.subject.other finance en_US
dc.subject.other business administration en_US
dc.subject.other foreign listed firms en_US
dc.subject.other Heterogeneous Market Hypothesis en_US
dc.subject.other investor heterogeneity en_US
dc.subject.other market microstructure en_US
dc.subject.other momentum en_US
dc.subject.other two-period order flow model en_US
dc.title Investor heterogeneity: Price momentum and trading volume reactions of foreign listed firms en_US
dc.type Dissertation en_US
dc.contributor.committeeMember Samii, Massood
dc.contributor.committeeMember Ficici, Aysun
dc.contributor.committeeMember Dhakar, Tej
dc.description.bibliographicCitation Zhang, Y. (2018). Investor heterogeneity: Price momentum and trading volume reactions of foreign listed firms. Retrieved from https://academicarchive.snhu.edu/ en_US
dc.description.degree Doctor of Business Administration (D.B.A.) en_US
dc.description.program International Business en_US
dc.description.school School of Business en_US
dc.digSpecs PDF/A-1b en_US
dc.rightsHolder Zhang, Yan


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