Institutional Investment Constraints and Stock Prices
Publication in refereed journal


香港中文大学研究人员 ( 现职)

曹杰教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/https://doi.org/10.1017/S0022109017000102 出版商提供的全文 https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/div-classtitleinstitutional-investment-constraints-and-stock-pricesdiv/A4D2ECA903980CB2306DF7F593B2B430

引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/0Scopus source URL

其它资讯

摘要We test the hypothesis that investment constraints in delegated portfolio management may distort demand for stocks, leading to price underreaction to news and stock return predictability. We find that institutions tend not to buy more of a stock with good news that they already overweight; they are reluctant to sell a stock with bad news that they already underweight. Stocks with good news overweighted by institutions subsequently significantly outperform stocks with bad news underweighted by institutions. The impact of institutional investment constraints sheds new light on asset pricing anomalies such as stock price momentum and post–earnings announcement drift.

着者Jie Cao, Bing Han, Qinghai Wang
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4
卷号52
期次2
出版社Cambridge University Press
页次465 - 489
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