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We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...
Persistent link: https://www.econbiz.de/10012971275
We examine institutional trading surrounding corporate news by combining a comprehensive database of newswire releases on U.S. firms with a high-frequency database of institutional trades. To identify the ability of institutions to predict or quickly interpret news, we form “news clusters”...
Persistent link: https://www.econbiz.de/10012905190
We study the relation between hedge fund equity holdings and measures of informational efficiency of stock prices derived from intraday transactions, as well as daily data. Our findings support the role of hedge funds as arbitrageurs who reduce mispricing in the market. Hedge funds invest in...
Persistent link: https://www.econbiz.de/10012969070
We examine the relation between changes in hedge fund stock holdings and measures of informational efficiency of equity prices derived from transactions data, and find that, on average, increased hedge fund ownership leads to significant improvements in the informational efficiency of equity...
Persistent link: https://www.econbiz.de/10013053677
Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to assist sell-side analysts and institutional clients with stock selection strategies. Quants are associated with more efficient analyst forecasting behavior on anomaly predictors...
Persistent link: https://www.econbiz.de/10011969132
On the day that dividends are paid we find a significant positive mean abnormal return that is completely reversed over the following days. This dividend pay date effect has strengthened since the 1970s, and is consistent with the temporary price pressure hypothesis. The pay date effect is...
Persistent link: https://www.econbiz.de/10013036302
Over the last decades passive investment products have continuously increased in importance. The efficiency of financial markets is often identified as the main reason for this development. We propose a theoretical framework which reverses the causality by showing that market efficiency might...
Persistent link: https://www.econbiz.de/10012936333
Czarnitzki and Stadtmann (2005) measure the interdependence of demand for investment advice (approximated by sales of investor magazines) and stock prices. They find strong evidence that confirms the presence of the disposition effect, i.e. the empirical observation that investors sell winners...
Persistent link: https://www.econbiz.de/10009782035
Large institutional investors own an increasing share of equity markets in the U.S. The implications of this development for financial markets are still unclear. The paper presents novel empirical evidence that ownership by large institutions predicts higher volatility and greater noise in stock...
Persistent link: https://www.econbiz.de/10011514119
This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004-2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years...
Persistent link: https://www.econbiz.de/10012612399