00Thaler_FM i-xxvi.qxd

investors stay out of the market and there is less information revelation. This increase in volatility after a downturn is the s ...

low returns, and repurchases by high returns. The models we have dis- cussed so far do not, however, shed light on the size anom ...

issue shortly—rational investors will demand compensation for it. In other words, they will require that the fund’s shares trade ...

The closed-end fund evidence shows that the fundamentals-based view of comovement is at best, incomplete: in that case, the pric ...

seems particularly appropriate for thinking about closed-end funds, and also for Froot and Dabora’s evidence. A second behaviora ...

We now describe some of the evidence on the actions of investors and the behavioral ideas that have been used to explain it. 7.1 ...

people invest heavily in those, and invest little or nothing at all in ambigu- ous assets. Their portfolios therefore appear und ...

knowledge, I am reluctant to buy if you are ready to sell. In contrast to this prediction, the volume of trading on the world’s ...

are more likely to sell stocks that have gone up in value relative to their purchase price, rather than stocks that have gone do ...

trading day will take less (more) risk in their afternoon trading. This pre- diction is borne out in the data. Grinblatt and Han ...

with abnormally high or low returns, and stocks with news announcements. They find that the individual investors in their sample ...

The success of the market-timing framework in predicting patterns of eq- uity issuance offers the hope that it might also be the ...

equity. This thinking leads to a cross-sectional prediction, namely that the investment of equity-dependent firms should be more ...

high accruals, defined as earnings minus actual cash flow, and as firms with high net issuance of equity. Firms with high accrua ...

because dividends help them surmount self-control problems through the creation of simple rules. A second rationale for dividend ...

policy. Based on these interviews Lintner proposed what we would now call a behavioral model. In his model, firms first establis ...

On reflection, it doesn’t seem any easier to deal with irrational managers than irrational investors. It is true that many firms ...

firms is indeed more sensitive to cash flow than the investment of other firms.^37 9.Conclusion Behavioral finance is a young fi ...

Behavioral Finance Theory Building. In the past few years there has been a burst of theoretical work modelling financial markets ...

looks for novel predictions the theory makes. For example, Lee, Shleifer, and Thaler (1991) test their model’s prediction that s ...