| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29453 |
| 来源ID | Working Paper 29453 |
| Momentum, Reversals, and Investor Clientele | |
| Andy C.W. Chui; Avanidhar Subrahmanyam; Sheridan Titman | |
| 发表日期 | 2021-11-08 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Different share classes on the same firms provide a natural experiment to explore how investor clienteles affect momentum and short-term reversals. Domestic retail investors have a greater presence in Chinese A shares, and foreign institutions are relatively more prevalent in B shares. These differences result from currency conversion restrictions and mandated investment quotas. We find that only B shares exhibit momentum and earnings drift, and only A shares exhibit monthly reversals. Institutional ownership strengthens momentum in B shares. These patterns accord with a setting where momentum is caused by informed investors who underreact to fundamental signals, and short-term reversals represent premia to absorb the demands of noise traders. Overall, our findings confirm that clienteles matter in generating stock return predictability from past returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w29453 |
| 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/587127 |
| 推荐引用方式 GB/T 7714 | Andy C.W. Chui,Avanidhar Subrahmanyam,Sheridan Titman. Momentum, Reversals, and Investor Clientele. 2021. |
| 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 | ||
| w29453.pdf（756KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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