Aggregate Margin Debt and the Divergence of Price from Accounting Fundamentals

• 成果类型: Article
• 署名作者: Burger, Marcus; Curtis, Asher
• 署名单位: Idaho State University; University of Washington; University of Washington Seattle
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/1911-3846.12314
• 发表日期: 2017
• 页码: 1418-1445
• 关键词: VALUE-RELEVANCE; Investor sentiment; earnings; stocks; INFORMATION; volatility

摘要

We examine whether, in the aggregate, margin debt is associated with the divergence of price from accounting fundamentals. We find that investors increase their margin debt following upward price movements away from accounting fundamentals, consistent with these investors being extrapolative in aggregate. We also find evidence that margin debt appears to be linked to temporary overpricing in recent periods, as the aggregate ratio of margin debt to price is reliably associated with negative future returns since at least 1992. Our results are consistent with the theoretical literature that predicts extrapolative traders have a destabilizing effect on market prices, and helps explain why prices diverge from accounting fundamentals.