| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24552 |
| 来源ID | Working Paper 24552 |
| Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment | |
| Yong Chen; Bryan Kelly; Wei Wu | |
| 发表日期 | 2018-04-30 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We study how sophisticated investors, when faced with changes in information environment, adjust their information acquisition and trading behavior, and how these changes in turn affect market efficiency. We find that, after exogenous reductions of analyst coverage due to closures of brokerage firms, hedge funds scale up information acquisition. They trade more aggressively and earn higher abnormal returns on the affected stocks. Moreover, the participation of hedge fund significantly mitigates the impairment of market efficiency caused by coverage reductions. Our results show a substitution effect between sophisticated investors and public information providers in facilitating market efficiency in a causal framework. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w24552 |
| 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/582225 |
| 推荐引用方式 GB/T 7714 | Yong Chen,Bryan Kelly,Wei Wu. Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment. 2018. |
| 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 | ||
| w24552.pdf（871KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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