Essays on the market microstructure and behavioral biases = 시장 미시구조와 행태적 편향에 관한 연구

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This dissertation includes three essays on the market microstructure and behavioral biases. The first study focuses on the extreme change in the liquidity of the stock and shows that stocks with high illiquidity skewness experience higher return subsequently. The second article reports that the disposition effect, which is one of the well-known behavioral biases, plays an important role in the short-term reversal anomaly and the short-term reversal anomaly is pronounced among stocks with large paper losses. The last paper analyzes the phenomenon that stocks with a large maximum daily return in previous month experiences subsequent underperformance and shows that this return predictability mainly arises from the maximum daily return which occurs in intraday.
Advisors
Kang, Jangkooresearcher강장구researcher
Description
한국과학기술원 :경영공학부,
Publisher
한국과학기술원
Issue Date
2019
Identifier
325007
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 경영공학부, 2019.2,[iii, 130 p. :]

Keywords

liquidity▼adisposition effect▼ashort-term reversal▼amaximum daily return; lottery-likeness; 유동성▼a처분효과▼a단기 반전 효과▼a최고수익률▼a복권 성향

URI
http://hdl.handle.net/10203/264416
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=844672&flag=dissertation
Appears in Collection
MT-Theses_Ph.D.(박사논문)
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