Sind Veröffentlichungen von publikationspflichtigen Unternehmensmeldungen faktorbasierte Marktrisiken? Eine Untersuchung von Noise-Trader-Risiken und Noise-Trader-Heuristiken

This thesis is intended to contribute to a further understanding of noise trader risk. It is examined whether company announcements subject to disclosure requirements contribute to cross-sectional Noise Trader risk. If prices are inefficient the Behavioral Asset-Pricing Model (BAPM) developed by Shefrin and Statman postulates a noise trading risk premium. A theoretical analysis reveals, that the abnormal expected return is an aggregated risk, including risk factors momentum, value and beta factor. Size approximates beta factor, eliminates momentum and weakens value.
The Information-Adjusted Noise Model developed by Ramiah and Davidson is modified to capture time shifted as well as cross-sectional responses to company announcements. The responses to disclosures of annual financial reports and dividend announcements are classified as Noise Trading risk factors. They are delayed by one to two days and significantly correlated with beta-correction changes in market disequilibrium.
The disclosures of dividend announcements might be proxy for an underlying risk factor caused by opinions shared on general annual meetings and investment of dividend payments.
The disclosures of annual financial reports are related to book-to-market and momentum indicating similar risk factors to Fama French three-factor model and Carhart four-factor model, which might be caused by not recognizing inefficient market conditions by the Information Trader. The Information Trader think they are still trading on information, although they are trading on noise. Homogenous expectations synchronize effects on stock prices and create the observed risk factors. This concept of a collectively temporarily metamorphose of the Information Trader might explain same results from a neoclassical and a behavioral perspective.
Investing in Noise Trader risk can be realized by combining the BAMP with zero-beta CAPM developed by Black. The zero-beta BAPM enables a risk-based Asset Allocation and is superior to zero-beta CAPM, because correlations with stocks not belonging to the portfolio are considered. Short selling of the zero-beta portfolio to finance a long position in the efficient portfolio enables a Factor Investing investment strategy. This portfolio meets all assumptions of Behavioral Portfolio Theory with multiple mental accounts (BPT-MA) developed by Shefrin and Statman.