G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8773
DP8773 Why Do Institutional Investors Chase Return Trends?
Ron Kaniel
发表日期2012
出版年2012
语种英语
摘要We propose and test a simple explanation for institutional investors? tendency to chase return trends. When investors face uncertainty about the precision of their private information, they wait for subsequent confirming news before establishing stock positions. While such news impact the stock price, at the same time they increase investors? estimates of the precision of their information. With low information quality the latter effect dominates and causes investors to purchase the stock after confirming good news. We formalize these ideas in a simple model and test the model?s predictions on mutual funds? stock holdings data. Using mutual funds? past return experiences with individual stocks as a proxy for their stock-specific information quality, we find evidence for the prediction that trend chasing is more likely when information quality is low.
主题Financial Economics
关键词Institutional investors Momentum Mutual funds Return trends
URLhttps://cepr.org/publications/dp8773
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/537609
推荐引用方式
GB/T 7714
Ron Kaniel. DP8773 Why Do Institutional Investors Chase Return Trends?. 2012.
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