G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6397
DP6397 Cross-Border Mergers & Acquisitions and the Role of Trade Costs
Holger Görg; Miriam Manchin; Alexander Hijzen
发表日期2007-07-20
出版年2007
语种英语
摘要How does the trading behaviour of institutional money managers affect stock prices? In this paper we document a robust relationship between the net trade patterns of institutional money managers and long term equity returns. Examining quarterly data on US institutional holdings from 1983 to 2004, we find evidence that stocks that have been persistently bought (sold) by institutions in the past 3 to 5 quarters underperform (overperform) the rest of the market in the next 12 to 30 months. Our results are of a similar magnitude to, but distinct from, other known asset pricing anomalies. Furthermore, we find that institutional investors show an aggregate tendency to trade in the direction of past institutional trades, buying stocks that have been persistently bought and selling stocks that have been persistently sold. We present a simple model of career-concerned trading by delegated portfolio managers that generates results consistent with our empirical findings.
主题Financial Economics
关键词Career concerns Institutional investors Return predictability Trading behaviour
URLhttps://cepr.org/publications/dp6397
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/535236
推荐引用方式
GB/T 7714
Holger Görg,Miriam Manchin,Alexander Hijzen. DP6397 Cross-Border Mergers & Acquisitions and the Role of Trade Costs. 2007.
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