{"id":"https://openalex.org/W151574523","doi":null,"title":"Essays in Investor Behavior and Asset Pricing","display_name":"Essays in Investor Behavior and Asset Pricing","publication_year":2014,"publication_date":"2014-01-01","ids":{"openalex":"https://openalex.org/W151574523","mag":"151574523"},"language":"en","primary_location":{"id":"mag:151574523","doi":null,"is_oa":false,"landing_page_url":"https://academiccommons.columbia.edu/download/fedora_content/download/ac:178189/CONTENT/An_columbia_0054D_12334.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100670443","display_name":"Li An","orcid":"https://orcid.org/0000-0002-6810-5074","observed_orcids":["https://orcid.org/0000-0002-6810-5074"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Li An","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-6810-5074","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5100670443"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10315","display_name":"Decision-Making and Behavioral Economics","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1800","display_name":"General Decision Sciences"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/disposition-effect","display_name":"disposition effect","score":0.9129999876022339},{"id":"https://openalex.org/keywords/investor-behavior","display_name":"investor behavior","score":0.5400000214576721},{"id":"https://openalex.org/keywords/asset-pricing","display_name":"asset pricing","score":0.9309999942779541},{"id":"https://openalex.org/keywords/mutual-fund-trading","display_name":"mutual fund trading","score":0.6859999895095825},{"id":"https://openalex.org/keywords/return-predictability","display_name":"return predictability","score":0.5950000286102295},{"id":"https://openalex.org/keywords/mortgage-backed-securities","display_name":"mortgage-backed securities","score":0.5339999794960022}],"concepts":[{"id":"https://openalex.org/C63134877","wikidata":"https://www.wikidata.org/wiki/Q1229229","display_name":"Disposition effect","level":3,"score":0.9292819499969482},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.7209348082542419},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7015154361724854},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5705657005310059},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5578805804252625},{"id":"https://openalex.org/C109574028","wikidata":"https://www.wikidata.org/wiki/Q647525","display_name":"Behavioral economics","level":2,"score":0.5498297214508057},{"id":"https://openalex.org/C60718061","wikidata":"https://www.wikidata.org/wiki/Q1414747","display_name":"Momentum (technical analysis)","level":2,"score":0.5375388264656067},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.4825257956981659},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.461725652217865},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4328550100326538},{"id":"https://openalex.org/C167626555","wikidata":"https://www.wikidata.org/wiki/Q5164759","display_name":"Consumption-based capital asset pricing model","level":3,"score":0.4310113191604614},{"id":"https://openalex.org/C2992558192","wikidata":"https://www.wikidata.org/wiki/Q647525","display_name":"Investor behavior","level":3,"score":0.42100730538368225},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.2650012969970703},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C2777267654","wikidata":"https://www.wikidata.org/wiki/Q3519023","display_name":"Test (biology)","level":2,"score":0.0},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"mag:151574523","doi":null,"is_oa":false,"landing_page_url":"https://academiccommons.columbia.edu/download/fedora_content/download/ac:178189/CONTENT/An_columbia_0054D_12334.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":57,"referenced_works":["https://openalex.org/W140385109","https://openalex.org/W196805056","https://openalex.org/W248898581","https://openalex.org/W1525152757","https://openalex.org/W1526342899","https://openalex.org/W1981264385","https://openalex.org/W1995834279","https://openalex.org/W2016909311","https://openalex.org/W2051350812","https://openalex.org/W2077791698","https://openalex.org/W2093874850","https://openalex.org/W2095729751","https://openalex.org/W2101114019","https://openalex.org/W2101194190","https://openalex.org/W2103679355","https://openalex.org/W2104795328","https://openalex.org/W2110496272","https://openalex.org/W2113208252","https://openalex.org/W2116988959","https://openalex.org/W2117728121","https://openalex.org/W2122298188","https://openalex.org/W2125520394","https://openalex.org/W2126732402","https://openalex.org/W2131177033","https://openalex.org/W2133469585","https://openalex.org/W2136120210","https://openalex.org/W2144487825","https://openalex.org/W2153956119","https://openalex.org/W2157323155","https://openalex.org/W2169645335","https://openalex.org/W2170815702","https://openalex.org/W2202544003","https://openalex.org/W2235373759","https://openalex.org/W2245831582","https://openalex.org/W2712733770","https://openalex.org/W2890844091","https://openalex.org/W2891190930","https://openalex.org/W3022353042","https://openalex.org/W3121422576","https://openalex.org/W3121515669","https://openalex.org/W3121673469","https://openalex.org/W3122109202","https://openalex.org/W3122417588","https://openalex.org/W3123272480","https://openalex.org/W3123443250","https://openalex.org/W3123471237","https://openalex.org/W3123692948","https://openalex.org/W3123852583","https://openalex.org/W3124141057","https://openalex.org/W3124408024","https://openalex.org/W3124521043","https://openalex.org/W3125014741","https://openalex.org/W3125133526","https://openalex.org/W3125250209","https://openalex.org/W3125388642","https://openalex.org/W3125407596","https://openalex.org/W3125696892"],"related_works":["https://openalex.org/W54230876","https://openalex.org/W3122417588","https://openalex.org/W2222333470","https://openalex.org/W2124157449","https://openalex.org/W3022437570","https://openalex.org/W7101135362","https://openalex.org/W7065876458","https://openalex.org/W4410151092","https://openalex.org/W2080308072","https://openalex.org/W4251715887"],"abstract_inverted_index":{"Essays":[0],"in":[1,77,98,263,309,329,337,350,398,486],"Investor":[2],"Behavior":[3],"and":[4,18,89,126,144,215,222,246,293,307,317,372,412,444,465,514,530],"Asset":[5],"Pricing":[6],"Li":[7],"An":[8,379],"This":[9,110,130],"dissertation":[10],"consists":[11],"of":[12,31,35,52,74,211,225,234,253,266,278,340,366,395,434],"three":[13],"essays":[14],"on":[15,57,70,218,358,439,445,456,534],"investor":[16],"behavior":[17,76,252,284,332],"asset":[19,28],"pricing.":[20],"In":[21],"the":[22,27,36,50,71,99,112,148,158,161,168,179,208,212,219,232,235,239,250,264,325,330,338,373,383,389,431,457,484,504],"first":[23],"chapter,":[24],"I":[25,68,80,177,501],"investigate":[26],"pricing":[29,72,223],"implications":[30,73,224],"a":[32,47,183,260,273,334,345,363,422,451],"newly-documented":[33],"refinement":[34],"disposition":[37,162,169,213,237,385,424],"effect,":[38],"characterized":[39],"by":[40,61,135,166,289,314,462],"investors":[41],"being":[42],"more":[43,418],"likely":[44,419],"to":[45,122,187,200,241,249,285,420,527],"sell":[46,242],"security":[48],"when":[49,496,506],"magnitude":[51,265,327,339],"their":[53],"gains":[54,88,151,172,268,292,306,392],"or":[55,139],"losses":[56,294,308],"it":[58,145,205,491],"increases.":[59],"Motivated":[60],"behavioral":[62],"evidence":[63,194],"found":[64,328],"among":[65],"individual":[66],"traders,":[67],"focus":[69],"such":[75],"this":[78,190,226,282,359],"chapter.":[79],"find":[81,178,258,321],"that":[82,114,160,174,195,259,516],"stocks":[83,116],"with":[84,272,324,403,511],"both":[85],"large":[86,90],"unrealized":[87,91,267,291,305],"losses,":[92,176],"aggregated":[93],"across":[94],"investors,":[95],"outperform":[96],"others":[97],"following":[100],"month":[101],"(monthly":[102],"alpha":[103],"=":[104,108],"0.51%,":[105],"Sharpe":[106,374],"ratio":[107,375],"1.6).":[109],"supports":[111],"conjecture":[113],"these":[115],"experience":[117],"higher":[118,127,276,404,409,413],"selling":[119,331],"pressure,":[120],"leading":[121],"lower":[123],"current":[124,209],"prices":[125,316],"future":[128,351],"returns.":[129,353],"effect":[131,163,170,214,238,360,386],"cannot":[132],"be":[133],"explained":[134],"momentum,":[136],"reversal,":[137],"volatility,":[138],"other":[140],"known":[141],"return":[142,184,365,370,400],"predictors,":[143,371],"also":[146,206,502],"subsumes":[147],"previously-documented":[149],"capital":[150,391],"overhang":[152,343,380,393],"effect.":[153,425],"Moreover,":[154],"my":[155],"findings":[156],"dispute":[157],"view":[159],"drives":[164],"momentum;":[165],"isolating":[167],"from":[171,175,297],"versus":[173],"loss":[180],"side":[181],"has":[182,437,531],"prediction":[185],"opposite":[186],"momentum.":[188],"Overall,":[189],"study":[191,233],"provides":[192,450],"new":[193],"investors\u2019":[196],"tendencies":[197],"can":[198,361,518],"aggregate":[199],"affect":[201],"equilibrium":[202,286],"price":[203,287,498],"dynamics;":[204],"challenges":[207],"understanding":[210],"sheds":[216],"light":[217],"pattern,":[220],"source,":[221],"behavior.":[227],"The":[228,426,476],"second":[229],"chapter":[230,310,428],"extends":[231],"V-shaped":[236,384,423],"tendency":[240],"relatively":[243],"big":[244,247],"winners":[245],"losers":[248],"trading":[251,283,318,355],"mutual":[254,298],"fund":[255,299],"managers.":[256],"We":[257,280,320],"1%":[261,335],"increase":[262,336,349],"(losses)":[269],"is":[270,376],"associated":[271],"4.2%":[274],"(1.6%)":[275],"probability":[277],"selling.":[279],"link":[281],"dynamics":[288],"constructing":[290],"measures":[295,303],"directly":[296],"holdings.":[300],"(In":[301],"comparison,":[302],"for":[304],"one":[311],"are":[312,416],"approximated":[313],"past":[315],"volumes.)":[319],"that,":[322],"consistent":[323],"relative":[326],"regressions,":[333],"gain":[341],"(loss)":[342],"predicts":[344],"1.4":[346],"(.9)":[347],"bp":[348],"one-month":[352],"A":[354],"strategy":[356],"based":[357],"generate":[362],"monthly":[364],"0.5%":[367],"controlling":[368],"common":[369],"around":[377],"1.4.":[378],"variable":[381],"capturing":[382],"strongly":[387],"dominates":[388],"monotonic":[390],"measure":[394],"previous":[396],"literature":[397],"predictive":[399],"regressions.":[401],"Funds":[402],"turnover,":[405],"shorter":[406],"holding":[407],"period,":[408],"expense":[410],"ratios,":[411],"management":[414],"fees":[415],"significantly":[417],"manifest":[421],"third":[427],"studies":[429],"how":[430],"recourse":[432,482,517],"feature":[433],"mortgage":[435,446],"loan":[436],"impact":[438,533],"borrowers\u2019":[440,468],"strategic":[441,469,487,494],"default":[442,470,488,495,512,521],"incentives":[443,471,513],"bond":[447],"market.":[448],"It":[449],"theoretical":[452],"model":[453],"which":[454],"builds":[455],"structural":[458],"credit":[459],"risk":[460],"framework":[461],"Leland":[463],"(1994),":[464],"explicitly":[466],"analyzes":[467],"under":[472],"different":[473],"foreclosure":[474],"laws.":[475],"key":[477],"results":[478],"are,":[479],"while":[480],"possible":[481],"makes":[483],"payoff":[485],"less":[489],"attractive,":[490],"helps":[492],"deter":[493],"house":[497,535],"goes":[499],"down.":[500],"examine":[503],"case":[505],"cash":[507],"flow":[508],"problems":[509],"interact":[510],"show":[515],"help":[519],"reduce":[520],"incentives,":[522],"make":[523],"debt":[524],"value":[525],"immune":[526],"liquidity":[528],"shock,":[529],"little":[532],"equity":[536],"value.":[537]},"counts_by_year":[],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
