My research interests include behavioral finance, empirical asset pricing, asymmetric investor information, investor communication, and financial advising. Below is a list of some of my projects.
Lahtinen, Kyre Dane, Lee, Bong Soo. (in press). The Effect of Social Media and Gender on the Stock Market. The Journal of Behavioral Finance & Economics.
ABSTRACT: Using a unique sample of Twitter posts, also called tweets, we examine the impact of social media on the return, volume, and volatility of the stock market using word list and algorithmic content analysis. We show market returns may be predicted using confidence and sentiment levels. Volume is best predicted by confidence. Volatility is most related to sentiment. We examine one dimension of Twitter user characteristics, namely gender. Our results show that men are more confident and less optimistic than women when they communicate about stocks. We find differences in the ability of communications by men and women to predict market returns, volume, and volatility.
Lahtinen, Kyre Dane, Shipe, Stephan. (in press). Compensation of Investment Advisors. The Journal of Investing.
ABSTRACT: The use of an investment advisor presents an agency problem as the firm works in the client’s interest while also managing its own growth. We use a dataset of over 30,000 advisor-year observations to investigate the potential for agency problems in the analysis of investment advisor firm characteristics. The compensation structures of investment advisors are not homogenous, varying by services offered. In addition, firm size is a large factor in determining the number of clients an advisory employee services. This analysis sets the foundation to understanding the compensation component of the investment advisor relationship and the associated agency problem.
Affuso, E., Lahtinen, K. D. Social Media Sentiment and Market Behavior. Empirical Economics.
Cummings, J. R., Ramirez, G. G., Sharma, D. S., Lahtinen, K. D. Motivating Capital Investment by Using the Audit Process to Increase Transparency. Journal of Real Estate Research.
Cummings, J. R., Lahtinen, K. D., Hunsader, K. On Effecting Real Estate Licensing Authority Policy Changes: Requiring Reporting of Real Estate License Test Examinees’ and Education Providers’ Pass-Fail Rates. Journal of Real Estate Practice and Education.
Chow, A., Lahtinen, K. D., Tang, R. Equity Risk: Measuring Return Volatility Using Historical High-Frequency Data. Journal of Risk, Risk Journals.
Cummings, J. R., Ramirez, G. G., Sharma, D. S., Lahtinen, K. D. Motivating Real Estate Investment By Offering Seller-Paid Sales Incentives to Buyers and Agents. Journal of Real Estate Research.
Lahtinen, K. D., Chow, A. An Empirical Comparison of Intra-day Stock Volatility (On-Going)
Lahtinen, K. D. An Empirical Examination of Student Managed Investment Fund Performance (On-Going)
Lahtinen, K. D., Chow, A. Implied Volatility and Decomposing the VIX Index (On-Going)
Lahtinen, K. D., Syvrud, K., Knill, A. Product Market Competition and Firm Reputation Shocks: Evidence from Cyber Security Breaches (On-Going)
Lahtinen, K. D., Hunsader, K. Short-term Market Responses to Social Media (Planning)
Lahtinen, K. D., Shipe, S. Analysis of Form ADV (On-Going)
Works in Progress
Affuso, E., Hunsader, K., Lahtinen, K. D. Effect of Oil Price Changes on the Default Likelihood of Petroleum Industry Stocks (On-Going)
“Social Media Sentiment and Market Behavior” with Ermanno Affuso presented at 2016 FMA Annual Meeting by Kyre Lahtinen, Las Vegas, Nevada. (October 2016)
“Real Estate License Exam Pass-Fail Rates: Evidence Suggests Pre-License Education School Type Matters” with Reid Cummings and Ken Hunsader presented at 2016 American Real Estate Society Annual Conference American Real Estate Society by Reid Cummings, Denver, Colorado. (April 2016)