The stock markets I study are characterized by thin trading. The investors in these markets seem reluctant to reallocate their portfoli
Possibly cultural values such as uncertainty avoidance. The Caribbean is high on UA and perhaps reallocating is seen as uncertain and risky
Is there any evidence on whether or not institutional investors have different time horizons from retail investors?
In response to your first question, might a lack of information also be important? In the absence of buying and selling which are indicators of where investors believe value lies, what else is there apart from highly abridged annual financial reports? Not much is revealed at shareholder meetings either. Where do investors go to find information?
I have a suspicion that the role of publicly available analysts reports is critical to the willingness of investors to reallocate their portfolios. I am wondering if there is any literature on this.
Maybe you could do a survey of investors including these variables?
Dear Professors at the University of the West Indies at Cave Hill, Barbados,
My PhD thesis on Bounded Rationality and Arrow-Debreu equilibrium contained original dynamic models which derived entropy measures from "Arrow of Time" kind of Physics postulates and bounded rationality determined variable cost of information technology. I have subsequently derived and published a lot of implications from these, using experimental and empirical quantitative finance driven by computer systems and (string theory) data , partly because in IT Networks for stock markets the value of output depends in my model on the outcomes of the financial investment actions made using such technology and hence technology is no longer a fundamental element of the set describing the Arrow-Debreu type production economy so it becomes a econo-physics system and for e.g. derives the Shannon measure of information entropy in stock markets and derives the resultant Arrow of Time Vector, and under inequality generates incomplete asset markets or imperfect stock markets which can lead to indeterminacy and structural incongruent geometry of market architecture. You can take a look at some of the papers on my RG page. I have also derived some mechanics and genetic algorithms to fix the problems both economically and physically. Earl Prof. (University Institute Chair Professor) Dr. (D.Phil.) SKM QC EPS Fellow (Indirect) MES MRES MAICTE
Hi,
You may be interested in reading this paper:
Differences of Opinion and International Equity Markets.
By: Dumas, Bernard; Lewis, Karen K.; Osambela, Emilio. Review of Financial Studies. Mar2017, Vol. 30 Issue 3, p750-800. 51p. DOI: 10.1093/rfs/hhw083.
best regards