Essays on the market microstructure and behavioral biases

Abstract

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.