Workshop Series: Joakim Westerholm

7 September, 2012 - 10:30 to 12:00
Room 430 Joyce Ackroyd Building 37


This paper examines the association between signed small trade turnover [SSTT] and stock returns. We predict that due to the change in investor behavior caused by an increased level of stress during the global financial crisis [GFC], portfolios formed during the global financial crisis period will not experience the SSTT to return association observed during pre and post GFC periods. This prediction is confirmed and we find that the SSTT to return association reverts to the pre GFC level after the crisis. Behavioral bias by small trade participants offers the most adequate explanation to the excess return generated by the low SSTT portfolio relative to the high SSTT portfolio, after adjustment for common risk factors in the CAPM and Fama-French models. This finding holds for SSTT portfolios generated during all the three periods and for both individual investors and institutional investors respectively with stronger results for individual investors.

Joakim Westerholm, Senior Lecturer, The University of Sydney

Joakim Westerholm's teaching and research interests are in the areas of security market microstructure and mergers and acquisitions.

Joakim's publications include a doctoral dissertation, research articles in Australian Journal of Management, International Review of Finance and the Finnish Journal of Business Economics and a book section published by L. Stern School of Business at New York University and Elsevier Science. Joakim's research articles in market microstructure and behavioural finance have been accepted for presentation at top Finance conferences such as the Western Finance Association Meeting (WFA), the European Finance Association (EFA) and the Financial Management Association International Meetings in USA and Europe, and have also been presented at specialist conferences in Market Microstructure. Joakim received the SIRCA Research Excellence Award at the Australian Banking and Finance Conference in 2003 and 2004.

Joakim has a PhD in Finance from the Swedish School of Economics and Business Administration (Hanken), in Helsinki, Finland. Joakim has 9 years industry experience in broking, dealing and funds management.

Research Expertise

  • Information economics
  • Initial public offerings (IPOs)
  • International securities markets
  • Mergers and acquisitions
  • Securities market microstructure