| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8773 |
| 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 |
| URL | https://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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