Market Segmentation and Cross-predictability of Returns

• 成果类型: Article
• 署名作者: Menzly, Lior; Ozbas, Oguzhan
• 署名单位: University of Southern California
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01578.x
• 发表日期: 2010
• 页码: 1555-1580
• 关键词: stock-market; momentum; RISK; overreaction; INFORMATION; news

摘要

We present evidence supporting the hypothesis that due to investor specialization and market segmentation, value-relevant information diffuses gradually in financial markets. Using the stock market as our setting, we find that (i) stocks that are in economically related supplier and customer industries cross-predict each other's returns, (ii) the magnitude of return cross-predictability declines with the number of informed investors in the market as proxied by the level of analyst coverage and institutional ownership, and (iii) changes in the stock holdings of institutional investors mirror the model trading behavior of informed investors.