| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8793 |
| 来源ID | Working Paper 8793 |
| Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions | |
| Randolph B. Cohen; Paul A. Gompers; Tuomo Vuolteenaho | |
| 发表日期 | 2002-02-14 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | A large body of literature suggests that firm-level stock prices 'underreact' to news about future cash flows, i.e., shocks to a firm's expected cash flows are positively correlated with shocks to expected returns on its stock. We estimate a vector autoregession to examine the joint behavior of returns, cash-flow news, and trading between individuals and institutions. Our main finding is that institutions buy shares from individuals in response to good cash-flow news, thus exploiting the underreaction phenomenon. Institutions are not simply following price momentum strategies: When price goes up in the absence of positive cash-flow news, institutions sell shares to individuals. Although institutions are trading in the 'right' direction, institutions as a group outperform individuals by only 1.44 percent per annum before transaction and other costs, because they are extremely conservative in deviating from the value-weight market index. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w8793 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566400 |
| 推荐引用方式 GB/T 7714 | Randolph B. Cohen,Paul A. Gompers,Tuomo Vuolteenaho. Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8793.pdf（401KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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