Essays on Investor Behavior and Bank Culture

dc.contributorAalto-yliopistofi
dc.contributorAalto Universityen
dc.contributor.authorVasudevan, Ellapulli
dc.contributor.departmentRahoituksen laitosfi
dc.contributor.departmentDepartment of Financeen
dc.contributor.schoolKauppakorkeakoulufi
dc.contributor.schoolSchool of Businessen
dc.contributor.supervisorKeloharju, Matti, Prof., Aalto University, Department of Finance, Finland
dc.date.accessioned2020-04-17T09:00:05Z
dc.date.available2020-04-17T09:00:05Z
dc.date.issued2020
dc.descriptionThe public defense on 5th May 2020 at 12:15 will be organized via remote technology. Link: https://aalto.zoom.us/j/65882094009 Zoom Quick Guide: https://www.aalto.fi/en/services/zoom-quick-guide
dc.description.abstractThis dissertation consists of an introduction and three original essays. In the first essay, I examine whether investors revise their beliefs about a stock's risk due to an increase in the stock's volatility. This revision makes loss-averse investors more willing to sell a riskier stock with a paper gain as the likelihood of having to sell it at a loss later increases. An analysis of a large dataset on the holdings and trades of individual investors yields empirical support for this prediction: a one standard deviation increase in volatility is associated with an 11% increase in the disposition effect. The effect primarily emerges from investors' increased propensity to sell stocks with small paper gains. In the second essay, I show investors exhibit a robust and systematic pattern of shortening their holding period in a stock on which they execute multiple round trip trades. On average, the holding period shortens by 11% with each additional round trip. I show this tendency to be short-termed is associated with reinforcement learning. Investors are more likely to shorten the holding period after a round trip where they could have realized a better return had they sold earlier. Investors become short-termed as they become more familiar with trading a stock. In the third essay, joint with Matti Keloharju and Deniz Okat, we analyze the effects of banks' "protected-weekend" policies, which aim at improving the work-life balance of junior bankers by guaranteeing them free time during weekends, in particular on Saturdays. We study how these policies affected bankers' working hours, as assessed from taxi rides from bank addresses and their immediate surroundings in New York City. While we find the policies induced bankers to stay at home on Saturdays, we also find they induced them to work more on other days. Our results suggest it is difficult to change bank culture by decree, and that well-meaning policies can have unintended consequences.en
dc.format.extent14 + app. 136
dc.format.mimetypeapplication/pdfen
dc.identifier.isbn978-952-60-3845-2 (electronic)
dc.identifier.isbn978-952-60-3844-5 (printed)
dc.identifier.issn1799-4942 (electronic)
dc.identifier.issn1799-4934 (printed)
dc.identifier.issn1799-4934 (ISSN-L)
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/43783
dc.identifier.urnURN:ISBN:978-952-60-3845-2
dc.language.isoenen
dc.opnMerkle, Christoph, Prof., Aarhus University, Denmark
dc.publisherAalto Universityen
dc.publisherAalto-yliopistofi
dc.relation.haspart[Publication 1]: Ellapulli Vasudevan. Some gains are riskier than others: Volatility changes, belief revisions, and the disposition effect. DOI: 10.2139/ssrn.3363580
dc.relation.haspart[Publication 2]: Ellapulli Vasudevan. Familiarity breeds short-termism. DOI: 10.2139/ssrn.3474332
dc.relation.haspart[Publication 3]: Matti Keloharju, Deniz Okat, Ellapulli Vasudevan. Going the extra mile: What taxi rides tell us about thelong-hour culture in finance.
dc.relation.ispartofseriesAalto University publication series DOCTORAL DISSERTATIONSen
dc.relation.ispartofseries62/2020
dc.revConlin, Andrew, Dr., University of Oulu, Finland
dc.revMerkle, Christoph, Prof., Aarhus University, Denmark
dc.subject.keywordinvestor behavioren
dc.subject.keywordtrading biasesen
dc.subject.keyworddisposition effecten
dc.subject.keywordshort-termismen
dc.subject.keywordbank cultureen
dc.subject.keywordlong-hour cultureen
dc.subject.otherFinanceen
dc.titleEssays on Investor Behavior and Bank Cultureen
dc.typeG5 Artikkeliväitöskirjafi
dc.type.dcmitypetexten
dc.type.ontasotDoctoral dissertation (article-based)en
dc.type.ontasotVäitöskirja (artikkeli)fi
local.aalto.acrisexportstatuschecked 2020-06-09_2012
local.aalto.archiveyes
local.aalto.formfolder2020_04_16_klo_15_55
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