| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24801 |
| 来源ID | Working Paper 24801 |
| IQ from IP: Simplifying Search in Portfolio Choice | |
| Huaizhi Chen; Lauren Cohen; Umit Gurun; Dong Lou; Christopher Malloy | |
| 发表日期 | 2018-07-16 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Using a novel database that tracks web traffic on the SEC’s EDGAR server between 2004 and 2015, we show that institutional investors gather information on a very particular subset of firms and insiders, and their surveillance is very persistent over time. This tracking behavior has powerful implications for their portfolio choice, and its information content. An institution that downloaded an insider-trading filing by a given firm last quarter increases its likelihood of downloading an insider-trading filing on the same firm by more than 41.3% this quarter. Moreover, the average tracked stock that an institution buys generates annualized alphas of over 12% relative to the purchase of an average non-tracked stock. We find that institutional managers tend to track members of the top management teams of firms (CEOs, CFOs, Presidents, and Board Chairs), and tend to share educational and location-based commonalities with the specific insiders they choose to follow. Collectively, our results suggest that the information in tracked trades is important for fundamental firm value and is only revealed following the information-rich dual trading by insiders and linked institutions. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w24801 |
| 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/582475 |
| 推荐引用方式 GB/T 7714 | Huaizhi Chen,Lauren Cohen,Umit Gurun,et al. IQ from IP: Simplifying Search in Portfolio Choice. 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 | ||
| w24801.pdf（815KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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