Browsing by Author "Reenbom, Lisa"

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    The Effect of Attention on the Behaviour of Investors Using a Social Trading Platform, Shareville
    (2016-07-07) Olsson, Maria; Reenbom, Lisa
    When buying a stock, it is impossible to take hundreds or thousands of stocks into consideration. A way for investors to simplify the search problem is to make the choice from stocks that have caught their attention. Motivated by the theories of human cognitive boundaries affecting investor behaviour, this thesis investigates the impact of attention effects on the behaviour of investors using a social trading platform, Shareville. Using a novel dataset from Shareville, we test the causal relation between the order volume and different attention proxies; comments, comments on a Friday and comments’ effect on buy orders. In addition, a sub sample with only the thirty largest and the thirty smallest Swedish firms is used. Our results indicate that order volume can be predicted by the number of comments on an asset, but that volume also has a positive and significant effect on the number of comments. Second, there is no evidence for that investors are more likely to show attention driven trading behaviour on a Friday. Third, we find that comments increase buy order volume more, compared to sell order volume. Fourth, the regressions containing firm size and profitability do not show an effect on order volume. We conclude that while there is a significant effect of comments on order volume, it is likely that our equations suffer from endogeneity due to reversed causality.
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    Stock price reactions to Swedish rights offerings: Do investors underreact?
    (2018-07-04) Andersen Tössebro, Maja; Reenbom, Lisa; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
    This paper studies 527, hand-collected, Swedish rights offerings announced over the period January 2007 to December 2016. The results differ from previous studies on rights offerings announcements on small markets, where we find that the announcement of SEOs lowers the stock price of the issuing firms. Moreover, by using a novel approach, we find evidence that the effect from announcing SEOs is not instantaneously incorporated in the stock price. In the six months following the completion of issue, prices continue to drift in the same direction as the announcement abnormal returns, though the drift is only significant for uninsured rights. Hence, our results for uninsured rights are in line with the behavioral theory of underreaction. The underreaction hypothesis is supported by two separate models, the CAR and BHAR model, suggesting that the anomalies detected are not fragile. However, we find that the negative drift is driven by specific years in the sample and is concentrated among larger firms, which raises questions of the economic significance of the anomalies found. The underreaction pattern observed may merely be a manifestation of what Fama refers to as chance.