Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 程斯教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1017/S0022109016000958 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要Price declines over the previous quarter lead to stronger reversals across the subsequent 2 months. We explain this finding based on the dual notions that liquidity provision can influence reversals and that agents who act as de facto liquidity providers may be less active in past losers. Supporting these observations, we find that active institutions participate less in losing stocks and that the magnitude of monthly return reversals fluctuates with changes in the number of active institutional investors. Thus, we argue that fluctuations in liquidity provision with past return performance account for the link between return reversals and past returns.
着者CHENG Si, HAMEED Allaudeen, SUBRAHMANYAM Avanidhar, TITMAN Sheridan
期刊名称Journal of Financial and Quantitative Analysis
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/017
月份2
卷号52
期次1
出版社Cambridge University Press
页次143 - 173
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/022-1http://aims.cuhk.edu.hk/converis/portal/Publication/09http://aims.cuhk.edu.hk/converis/portal/Publication/0
电子国际标準期刊号1756-6916
语言英式英语
