Institutional Investors’ Trading Response to Stock Market Anomalies: Evidence from Korea
نویسندگان
چکیده
منابع مشابه
Institutional Investors and Stock Market
We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which allows us to provide a unified explanation...
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We examine institutional investor demand for stocks that are categorized as mispriced according to twelve well-known pricing anomalies. We find that institutional demand 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 ...
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The last decade has witnessed a dramatic increase in both the number and the market share of screen-based trading systems. Electronic trading systems do offer lower operating costs and the possibility of remote access to the market. On the other hand, arguments based on the anonymity of electronic trading systems suggest that adverse selection may be a more severe problem and that, therefore, b...
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ژورنال
عنوان ژورنال: Sustainability
سال: 2020
ISSN: 2071-1050
DOI: 10.3390/su12041420