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Grossman, Gene M. - 1986

We analyze a two-country model of trade in both legitimate and counterfeit products. Domestic firms own trademarks and establish reputations for delivering high-quality products in a steady-state equilibrium. Foreign suppliers export legitimate low-quality merchandise and counterfeits of...

Persistent link: https://www.econbiz.de/10012477200

Informed Trading and Expected Returns

Choi, James J. - 2013

Does information asymmetry affect the cross-section of expected stock returns? We explore this question using … information advantage, and that past aggressiveness of institutional trading in a stock positively predicts institutions' future … information advantage in this stock. Sorting stocks on this predictor and controlling for other correlates of expected returns, we …

Persistent link: https://www.econbiz.de/10012459983

A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets

Hong, Harrison - 1997

would be the case if the central" tendency was constant. However, since longer-maturity bond prices incorporate information …

Persistent link: https://www.econbiz.de/10012472491

Momentum Strategies

Chan, Louis K. C. - 1995

We relate the predictability of future returns from past returns to the market's underreaction to information, focusing … market that responds only gradually to new information …

Persistent link: https://www.econbiz.de/10012473492

Selling Fast and Buying Slow : Heuristics and Trading Performance of Institutional Investors

Akepanidtaworn, Klakow; Di Mascio, Rick; Imas, Alex; … - National Bureau of Economic Research - 2021

Are market experts prone to heuristics, and if so, do they transfer across closely related domains--buying and selling? We investigate this question using a unique dataset of institutional investors with portfolios averaging $573 million. A striking finding emerges: while there is clear evidence...

Persistent link: https://www.econbiz.de/10012599366

Momentum, Reversals, and Investor Clientele

Chui, Andy C. W.; Subrahmanyam, Avanidhar; Titman, Sheridan - National Bureau of Economic Research - 2021

Different share classes on the same firms provide a natural experiment to explore how investor clienteles affect momentum and short-term reversals. Domestic retail investors have a greater presence in Chinese A shares, and foreign institutions are relatively more prevalent in B shares. These...

Persistent link: https://www.econbiz.de/10012696362

Avoiding Idiosyncratic Volatility : Flow Sensitivity to Individual Stock Returns

Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - National Bureau of Economic Research - 2023

Despite positive and significant earnings announcement premia, we find that institutional investors reduce their exposure to stocks before earnings announcements. A novel result on the sensitivity of flows to individual stock returns provides a potential explanation. We show that extreme...

Persistent link: https://www.econbiz.de/10014322748