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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Momentum or Contrarian? Identifying Determinants of Investor Beliefs
Organization Unit
Authors
  • Sandra Petrovic
Supervisors
  • Thorsten Hens
  • Ferdinand Langnickel
Language
  • English
Institution University of Zurich
Faculty Faculty of Economics, Business Administration and Information Technology
Number of Pages 69
Date February 2016
Abstract Text In this study we investigate what factors of stock price trajectories influence investors toward believing in trend continuation or mean reversion. In particular, we focus our interest on the volatility, the long/short term trend, and the perceived randomness of past prices, since they represent a foundation on which the investors are likely to base their predictions. We find that the volatility in general has the insignificant effect. Impacts of the long term trend and the short term trend are significant and, that depending on the direction of these trends, they either contribute to the belief in trend continuation or to the belief in mean reversion. However, our findings imply that the effect of the short term trend is substantially stronger than the effect of long term trend. Regarding the perceived randomness, our results suggest that if the underlying mechanism is perceived as fully random, biases in individuals' decision-making are reduced to minimum level.
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