• Selected
• Entire List

Abstract:
In this paper we address the factors influencing the institutional decision to allocate resources to real estate. We survey a sample of major institutional investors via a web questionnaire. They were willing to answer questions about their target real estate allocation, their plans to increase or decrease their allocation, the major reasons for investing in real estate, and views on the major risks and relative expense of doing so. We find that the endowments in our sample typically had a relatively short history of real estate investment, but planned to increase their allocation to the asset class - more so than pension funds. We also find uncertainty about use of historical data to be a significant factor in the allocation choice.

Behavioral Finance, real estate, investing, risk, uncertainty

Abstract:
In this paper, we analyze the trading records of a major discount brokerage house to investigate the disposition effect, the tendency to sell winners too quickly than losers. In contrast to previous research that has demonstrated the disposition effect by aggregating across investors (Odean, 1998), our main objective is to identify individual differences in the disposition bias and explain this in terms of underlying investor characteristics. Building on the findings in experimental economics and self-correction in psychology, we hypothesize that investors' sophistication about financial markets and trading experience is responsible in part for the variation in individual disposition effect. Using demographic and socio-economic data as proxies for investors' sophistication, we find empirical evidence that wealthier and individual investors in professional occupations exhibit less disposition effect. Consistent with experimental economics, trading experience also tends to reduce the disposition effect. We provide guidelines for investment advisors, regulators and investment communities to utilize our findings and help investors make better decisions.

Disposition Effect, Investor Sophistication, Individual Decision Making

Abstract:
We examine the trades of individual and professional investors around stock splits and find that splits bring about a significant shift in investor clientele. We find that a higher fraction of post-split trades are made by less sophisticated investors, as individual investors increase and professional investors reduce their aggregate buying activity following stock splits. This behavior supports the common practitioners' belief that stock splits help attract new investors and improve stock liquidity. The shift in clientele also influences return properties, price discovery, and asset prices: stocks exhibit stronger serial correlation after splits; stocks co-move more with the market index; and the introduction of new investors explains part of the positive post-split drift puzzle.

Stock Splits, Clientele Change, Market Efficiency, Noise Trading, Investor Sophistication, Splits, Clientele Shift, Liquidity

Abstract:
Abstract: A variety of models have been proposed to explain the rise and
fall of stocks prices in the U.S. around the turn of the millennium. Many
models focus on behavioral explanations in which and investor beliefs
about their own capabilities and the efficiency of market prices play a role. In this paper we provide empirical evidence on these beliefs.

We surveyed a large sample of investors who bought stock in a telecommunications company at least once in the 1999-2000 period. We solicited their views on the efficiency of the stock market, and the basis for their personal trading decisions. A significant fraction appear to hold beliefs inconsistent with various implications of the efficient market hypothesis. Their motives for trade are based upon a belief in the value of fundamental research and a belief in the importance of past price trends. These investors on average believe that markets over-react to news announcements. Many admitted to buying stocks they believed at the time to be over-valued, but claimed to have done so on the anticipation that the share prices would continue to rise.

Abstract:
Consumer choices are a result of an interplay of two systems: fast and intuitive thinking (System 1) and more deliberative reasoning (System 2). The present research examines the implication of the interplay between the two systems for context effects in choice by exploring the consequences of resource depletion. Building on a substantial body of psychological literature that points to one underlying resource used in self-regulation and decision-making, this paper demonstrates that resource depletion has a systematic influence on choices. Specifically, we demonstrate that resource depletion enhances the role of intuitive System 1 influences by impairing the effortful and deliberate overriding role of System 2. In five experiments, we find that resource depletion increases the share of reference-dependent choices, decreases the compromise effect, magnifies the attraction effect, and increases choice deferral. The results shed light on both the mechanism underlying context effects on choices and the scope of the depleted resource.

Decision making, context effects, two systems, depletion

Abstract:
Previous research has shown that consumers' evaluations of brand extensions depend on the perceived quality of the parent brand and the fit between the brand and the extension category. We propose that the relative importance of these two factors is malleable and depends on the mindset of the decision maker. At a theoretical level, we demonstrate how minor changes in the decision context alter consumers' mindset and systematically change consumers' brand extension evaluations. In particular, we show that promoting a concrete mindset shifts consumers' focus from the fit of the brand extension to the quality of the parent brand. Since most academic brand extension studies use a relatively abstract decision context, a substantive implication of our findings is that prior research may have underestimated the importance of parent brand quality by implicitly inducing a mindset that is more abstract than the natural mindset of a consumer in the marketplace.

Branding, brand extensions, consumer mindsets, choice

Abstract:
Panel survey data have been gaining importance in marketing. However, one challenge of estimating econometric models based on panel survey data is how to account for under reporting, that is, respondents do not report behavioral incidences which actually occur. Under reporting is especially likely to occur in a panel survey because the data recording mechanism is often tedious, complex and effortful. The probability of under reporting is likely to vary across respondents and also over the duration of the survey period. In this paper, we propose a model to simultaneously study reported behavioral incidences and partially observed actual behavioral incidences. We propose a Bayesian approach for estimating the proposed model. We treat those unobserved actual behavioral incidences as latent variables, and the Gibbs Sampler makes it convenient to impute the non-reported consumption incidences along with making inferences on other model parameters. Our proposed method has two advantages. First, it offers a model-based approach to remove the under reporting bias in panel survey data, and therefore allows marketing researchers to make accurate inferences about consumers’ actual behavior. Second, the method also offers a natural way to study factors that influence respondents’ propensity to under report. Since we treat those under reported behavioral incidences as non-missing-at-random (NMAR), this under reporting propensity varies across respondents and over time. This understanding can help marketing researchers design the right strategy to intervene and incentivize respondents to authentically report and hence improve the quality of survey data. The proposed model and estimation approach are tested on both synthetic data and an actual panel survey data on consumer reported beverage-drinking behavior. Our analysis suggests that under reporting can significantly mask respondents’ true behavior.

Panel Survey Data Analysis, Measurement Error, Underreporting, Bayesian Analysis

Abstract:
In this article, we employ the Linear Approximate Almost Ideal Demand System (LA/AIDS), and specify price reaction equations derived under the LA/AIDS specification. We perform intracategory analyses using data on six individual categories, as well as a pooled analysis on a sample of 125 categories and 59 geographic markets. We find that consumer response to price and promotion decisions (demand) and firm pricing behavior (supply) jointly determine observed market prices and market shares. Further, estimates of residual demand elasticities suggest that examination of partial demand elasticities alone may provide an incomplete picture of the ability of brands to raise price.