Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and Share Issuance*

Autor:	Ankur Pareek, Martijn Cremers
Rok vydání:	2014
Předmět:	Economics and Econometrics Momentum (finance) Accounting Institutional investor Economics Portfolio Monetary economics Duration (project management) Stock return Discount points Short-term trading Finance Stock (geology)
Zdroj:	Review of Finance. 19:1649-1701
ISSN:	1573-692X 1572-3097
DOI:	10.1093/rof/rfu029
Popis:	This article examines how the extent of short-term trading relates to the efficiency of stock prices. We employ a new duration measure based on quarterly institutional investors’ portfolio holdings, next to existing proxies such as trading volume, the percentage of transient institutions, and fund turnover. Momentum returns and subsequent returns reversal are generally much stronger for stocks held primarily by short-term investors, especially if these investors recently had superior recent performance which could make them overconfident. Our results point toward the behavioral theory in Daniel, Hirshleifer and Subrahmanyam (1998) and seem inconsistent with short-term institutions improving efficiency.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::343a5d17afbe559ffbe1ccbae4d658ab https://doi.org/10.1093/rof/rfu029 Zobrazit plný text záznamu