02.06.2016 - 14:16:01
Kai Duttle’s Thesis on Behavioral Studies
Congratulations to Kai Duttle, Doctoral Fellow at the DFG Graduiertenkolleg 1613 Risk and East Asia, who passed his thesis defense on May 24, 2016!
Title: A Behavioral Finance Perspective on Momentum – Comparative Experimental Studies in Germany and Japan
This doctoral thesis presents five individual contributions covering a set of behavioral biases of investors on the stock market. It is not surprising that people differ in how strong their behavior deviates from rational, utility-maximizing decision making; that is, in the intensity of the behavioral biases they demonstrate. A large set of research articles in economics investigate these differences in order to find systematic patterns. Two explanatory factors which recently grew in popularity are predominantly discussed in the course of this doctoral thesis. These factors are (i) cultural/social background and (ii) cognitive abilities of decision makers.
Being one of the most consistent and well-studied market anomalies in finance, so-called stock price momentum is the unifying theme of all chapters. The majority of literature suggests a number of different biases in investor behavior as the main drivers of momentum. Moreover, there are significant international differences in returns from momentum-based investment strategies. While returns are robust and high in Western financial markets, they are very low or even nonexistent in East Asia.
This doctoral thesis explores in how far the two factors, culture and cognitive skills, are potentially involved in the formation of price momentum in financial markets to begin with, and whether they can explain existent international momentum differences.