Hedge fund vs. non-hedge fund institutional demand and the book-to-market effect
| Autor: | Umut Celiker, Gokhan Sonaer, Mustafa Caglayan |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Fund of funds
040101 forestry Hedge accounting Economics and Econometrics Public information 050208 finance business.industry 05 social sciences Institutional investor Financial system 04 agricultural and veterinary sciences Monetary economics Global assets under management Stock return Prime brokerage Hedge fund Growth stock Open-end fund 0502 economics and business Value (economics) 0401 agriculture forestry and fisheries Market anomaly Alternative beta business Finance |
| Zdroj: | Journal of Banking & Finance. 92:51-66 |
| ISSN: | 0378-4266 |
| Popis: | Recent studies show that institutional investors as a whole group are not any different from naive investors in failing to benefit from the book-to-market anomaly. Furthermore, Jiang (2010) illustrates that institutional investors exacerbate the price overreaction contributing to the book-to-market effect. However, we find evidence for a drastic change in hedge funds’ behavior as they change their preferences from growth to value stocks immediately after the book-to-market values of stocks become public knowledge. More importantly, we show that hedge funds detect overpriced growth securities and trade them to their advantage especially when non-hedge funds move aggressively in the opposite direction. This is consistent with Miller (1977) in the sense that hedge funds are the informed investors. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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