Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/147828
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dc.titleHOW MUCH DO INVESTORS LOSE FROM MARKET MISTIMING?
dc.contributor.authorVU DUY ANH
dc.date.accessioned2018-09-28T02:37:03Z
dc.date.available2018-09-28T02:37:03Z
dc.date.issued2013
dc.identifier.citationVU DUY ANH (2013). HOW MUCH DO INVESTORS LOSE FROM MARKET MISTIMING?. ScholarBank@NUS Repository.
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/147828
dc.description.abstractRecent study by Dichev (2008) suggests that the dollar-weighted returns that investors actually earn are systematically lower than the buy-and-hold returns often studied in existing literature. Such phenomenon has been termed as the “dollar-weighed effect” by Dichev. In this study, we follow the dollar-weighted methodology proposed by Dichev to examine the market timing behaviors as well as long run investment performance of retail and institutional investors. In addition, we also explore the impact of investor sentiment, idiosyncratic volatility and extreme positive returns on the dollar-weighted effect across different investor habitats. Our study shows that institutional investors have superior market timing capabilities in comparison with retail investors. As a result, the dollar-weighted effect is more pronounced when institutional ownership is low, and the effect reverses itself for the universe of stocks that attract the highest number of institutional investors. Our study also shows that retail investors are more sensitive to shifts in investor sentiment, consistent with the large magnitude of the dollar-weighted effect observed in the sample of stocks with lower institutional holdings. Lastly, the empirical results of our double sort procedures show that higher idiosyncratic volatility and extreme positive returns tend to result in stronger dollar-weighted effect as stocks with these two characteristics appeal to retail investors.
dc.typeThesis
dc.contributor.departmentNUS Business School
dc.contributor.supervisorFONG WAI MUN
dc.description.degreeBachelor's
dc.description.degreeconferredBACHELOR OF BUSINESS ADMINISTRATION WITH HONOURS
Appears in Collections:Bachelor's Theses

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