Institutional Investors and Stock Return Anomalies PDF Download

Author: Roger M. Edelen
Publisher:
ISBN:
Category :
Languages : en
Pages : 48

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Book Description
We examine institutional investor demand for stocks that are categorized as mispriced according to twelve well-known pricing anomalies. We find that institutional demand during the year prior to anomaly portfolio formation is typically on the wrong side of the anomalies' implied mispricing. That is, we find increases in institutional ownership for overvalued stocks and decreases in institutional ownership for undervalued stocks. Moreover, abnormal returns for all twelve anomalies are concentrated almost entirely in stocks with institutional demand on the wrong side. We consider several competing explanations for these puzzling results.

Author: Ankur Pareek
Publisher:
ISBN:
Category :
Languages : en
Pages : 274

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Book Description

Author: Elroy Dimson
Publisher: CUP Archive
ISBN: 9780521341042
Category : Business & Economics
Languages : en
Pages : 328

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Book Description

Author: Leonard Zacks
Publisher: John Wiley & Sons
ISBN: 1118127765
Category : Business & Economics
Languages : en
Pages : 352

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Book Description
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232

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Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Author: Lucy F. Ackert
Publisher:
ISBN:
Category : Seasonal variations (Economics)
Languages : en
Pages : 34

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Book Description

Author: Richard Michaud
Publisher: Wiley
ISBN: 9780943205465
Category : Business & Economics
Languages : en
Pages : 51

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Book Description
Investment Styles, Market Anomalies, and Global Stock Selection focuses on global factor-return relationships for institutional equity management and style analysis. The author uses a new global factor-return equity database, defined in 1990 and allowed to evolve over time, that was designed to avoid incurring some of the common critiques of market anomaly studies. The framework and data the author presents are intended to enhance the investor/manager's understanding of vital global equity investment issues.

Author: Mustafa Onur Caglayan
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
Recent studies have documented that institutional investors trade contrary to the predictions of the book-to market anomaly. We examine whether a prominent sub-group of institutional investors, namely hedge funds, differ from other institutions in terms of their trading behavior with respect to the book-to-market effect. We find that hedge funds significantly alter their trading preferences with respect to growth and value stocks, after book-to-market values become public information. More importantly, we show that hedge funds are better able to identify overpriced growth stocks compared to other institutions. Our results contribute to the literature on institutional investors' trading with respect to stock return anomalies.

Author: Martijn Cremers
Publisher:
ISBN:
Category :
Languages : en
Pages : 11

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Book Description
This paper examines how the extent of short-term trading relates to the efficiency of stock prices. We employ a new duration measure based on quarterly institutional investors' portfolio holdings, next to existing proxies such as trading volume, the percentage of transient institutions, and fund turnover. Momentum returns and subsequent returns reversal are generally much stronger for stocks held primarily by short-term investors, especially if these investors recently had superior recent performance which could make them overconfident. Our results point towards the behavioral theory in Daniel, Hirshleifer and Subrahmanyam (1998) and seem inconsistent with short-term institutions improving efficiency.The paper "Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and Share Issuance" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=1571191 http://ssrn.com/abstract=1571191.

Author: Tao Shu
Publisher:
ISBN:
Category :
Languages : en
Pages : 38

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Book Description
This paper investigates the impact of institutional trading volume on stock market anomalies. I construct a measure that evaluates the percentage of total trading volume of a stock accounted for by institutional trades. Using a large sample of firms from 1980ndash;2005, I find strong evidence that the strength of stock market anomalies such as price momentum, post-earnings announcement drift, the value premium, and the investment anomaly is decreasing in institutional trading volume. Additionally, the effects of institutional trading volume are stronger than those of institutional ownership, the major measure of institutional investor participation in the finance literature. These findings suggest that institutional trading significantly improves stock price efficiency.