An Epidemic Model of Investor Behavior

Shive, Sophie

doi:10.2139/ssrn.687410

Cited by 57 publications

(62 citation statements)

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“…A more detailed discussion of the social networking aspects of the database is available in Heimer and Simon (2013). Notably, myForexBook traders have similar social behavior to those in other databases such as the Consumer Expenditure Survey, a representative household survey in the U.S. (Heimer (2014)), and the population of equity market participants in Finland (Shive (2010)). …”

Section: The Data: Myforexbookmentioning

confidence: 99%

Can Leverage Constraints Help Investors?

Heimer

2014

Working Paper (Federal Reserve Bank of Cleveland)

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Section: The Data: Myforexbookmentioning

confidence: 99%

Can Leverage Constraints Help Investors?

Heimer

2014

Working Paper (Federal Reserve Bank of Cleveland)

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“…Some investors are influenced in cold-calls by brokers by statements that famous investors such as Warren Buffett are holding a stock (see Lohse (1998)). The publication of news that Buffett has purchased a stock is associated with a positive stock price reaction which is on average greater 27 See Kelly and O'Grada (2000), Hong, Kubik, and Stein (2004), Ivkovich and Weisbenner (2007), Shive (2008), and Brown, Ivkovich, Smith, and Weisbenner (2008).…”

Section: Herding On Endorsementsmentioning

confidence: 99%

“…Survey evidence indicates that households that are more social or attend church participate more in the stock market (Hong, Kubik, and Stein (2004)), suggesting that participation is contagious. Shive (2008) measures the opportunity for investors who own a stock to 'infect' non-holders in a municipality by the product of the number of owners and the number of non-owners of the stock. This measure is motivated by models from epidemiology which contain such product terms.…”

Section: Herding On Tradesmentioning

confidence: 99%

“…Shive (2008) finds that 'socially motivated trades' 42 In the Capital Asset Pricing Model (CAPM) and its generalizations (consumption CAPM, intertemporal CAPM), beliefs are exogenous (specifically, individuals are assumed to assess the probability distribution of variables correctly conditional upon all publicly available information), and investors form demands for securities by individual optimization taking market prices as given. In consequence, an investor , s behavior (considering different possible out-of-equilibrium choices) affects other investors only through the effect of that behavior on market price.…”

mentioning

confidence: 99%

“…This is analogous to models of adaptiveness in evolutionary biology in which genes that have maximal reproductive success. As discussed earlier, Shive (2008) models and tests the contagion of investment behaviors through a population, analogous to the spread of a disease. Similarly, Shiller (2000b) chapter 8 likens the spread of ideas about the stock market to a contagion spread through conversation.…”

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confidence: 99%

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Thought and Behavior Contagion in Capital Markets

Hirshleifer

Teoh

2009

Handbook of Financial Markets: Dynamics and Evolution

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aPrevailing models of capital markets capture a limited form of social influence and information transmission, in which the beliefs and behavior of an investor affect others only through market price, information transmission and processing is simple (without thoughts and feelings), and there is no localization in the influence of an investor on others. In reality, individuals often process verbal arguments obtained in conversation or from media presentations, and observe the behavior of others. We review here evidence concerning how these activities cause beliefs and behaviors to spread, affect financial decisions, and affect market prices; and theoretical models of social influence and its effects on capital markets. Social influence is central to how information and investor sentiment are transmitted, so thought and behavior contagion should be incorporated into the theory of capital markets.

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Do investors post messages differently from mobile devices? The correlation between mobile Internet messages posting and stock returns

et al. 2019

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Mobile Internet has become a popular channel for investors to share their information and ideas about investment. This paper investigates the relation between frequency of mobile Internet messages and subsequent stock returns. We find that firms with higher proportion of mobile Internet messages on average earn a significant return premium even after controlling for well-known risk factors. Moreover, the marginal effect of mobile Internet messages is more pronounced among stocks in weaker information environments (i.e., higher fraction of individual ownership and lower analysts following). Further results suggest this correlation is more likely to be driven by "noise" rather than "information." We also provide evidence that the lack of liquidity can explain the persistence of the correlation between mobile Internet messages and stock returns. Our findings highlight the importance for financial market participants to consider the peer-based opinions from mobile Internet.

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An Epidemic Model of Investor Behavior

Cited by 57 publications

References 0 publications

Can Leverage Constraints Help Investors?

Can Leverage Constraints Help Investors?

Thought and Behavior Contagion in Capital Markets

Do investors post messages differently from mobile devices? The correlation between mobile Internet messages posting and stock returns

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