PhD defence A. (Amar) Soebhag

Below is a brief summary about the dissertation:

This dissertation focuses on presenting four distinct papers that make valuable contributions to the empirical asset pricing literature. Each paper delves into a different challenge within this field, yet they all share a common thread of studying investor behavior and market inefficiencies. The first chapter studies how economic forecasters and markets react to aggregated macro-economic news, which allows to study the rationality, and expectation formation. The second chapter addresses a recent challenge in the literature: p-hacking in academic research. In the past three decades hundreds of new factors that arguably explain the cross-section of returns have been discovered. The p-hacking literature recognizes that not all discoveries are valid, but some may be driven by luck or p-hacking. This chapter adds a new dimension to the p-hacking literature: freedom in research choices may allow for p-hacking. The third chapter touches upon non-information based trading, where we show that the rebalancing of option market makers is negatively priced in the cross-section of equity returns. The last chapter studies intraday return patterns and links the predictability to specific investor types, thereby challenging the investor homogeneity assumed in the traditional framework.