Institutional investors and stock return anomalies

• 成果类型: Article
• 署名作者: Edelen, Roger M.; Ince, Ozgur S.; Kadlec, Gregory B.
• 署名单位: University of California System; University of California San Francisco; University of Southern California; Virginia Polytechnic Institute & State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.002
• 发表日期: 2016
• 页码: 472-488
• 关键词: Investor base; Limits-of-arbitrage; Mispricing; herding; trading strategies

摘要

We examine institutional demand prior to well-known stock return anomalies and find that institutions have a strong tendency to buy stocks classified as overvalued (short leg of anomaly), and that these stocks have particularly negative ex post abnormal returns. Our results differ from numerous studies documenting a positive relation between institutional demand and future returns. We trace the difference to measurement horizon. We too find a positive relation at a quarterly horizon. However, the relation turns strongly negative at the one-year horizon used in anomaly studies. We consider several explanations for institutions' tendency to trade contrary to anomaly prescriptions. Our evidence largely rules out explanations based on flow and limits-of-arbitrage, but is more consistent with agency-induced preferences for stock characteristics that relate to poor long-run performance. (C) 2016 Elsevier B.V. All rights reserved.