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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2015
Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...
Persistent link: https://www.econbiz.de/10010467770
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014
Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...
Persistent link: https://www.econbiz.de/10010471006
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Are analyst trade ideas valuable?
Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2019
Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...
Persistent link: https://www.econbiz.de/10012120228
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Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Buffa, Andrea M - 2018
benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …
Persistent link: https://www.econbiz.de/10012910534
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Institutional investors and equity prices : information, behavioral bias and arbitrage
Han, Bing; Kong, Dongmin - 2017
This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...
Persistent link: https://www.econbiz.de/10011646414
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Hedge Fund Holdings and Stock Market Efficiency
Cao, Charles - 2017
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
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Hedge Fund Holdings and Stock Market Efficiency
Cao, Charles - 2014
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
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Comprehensive analysis of regulatory impacts on performance of Slovak pension funds
Papík, Mário; Papíková, Lenka - In: Journal of business economics and management 22 (2021) 3, pp. 735-756
Standard pay-as-you-go pension system is facing long-term and short-term sustainability challenges in several countries. Possible replacement of standard pension system might be in a form of private pension savings. Private pension savings are meaningful only if they provide sufficiently high...
Persistent link: https://www.econbiz.de/10012506302
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Pension Funds’ Herding
Broeders, Dirk - 2016
This paper uses unique and detailed transaction data to analyse herding behavior among pension funds. We distinguish … between weak, semi strong and strong herding behaviour. Weak herding occurs if pension funds have similar rebalancing … strategies. Semi strong herding arises when pension funds react similarly to other external shocks, such as changes in regulation …
Persistent link: https://www.econbiz.de/10012997670
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Correlated information consumption and comovement in the stock market
Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827
This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market … significant comovement in returns and liquidity of stocks within the resultant clusters. This comovement is linked but not … fund holdings, industries, and companies’ locations. This evidence suggests this comovement is in excess of what rational …
Persistent link: https://www.econbiz.de/10013334839