信息在共同拥有的企业中逐渐扩散

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Journal of Financial Economics Pub Date : 2024-04-26 DOI:10.1016/j.jfineco.2024.103852
Jie Ying
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引用次数: 0

摘要

本文研究共同机构所有权(CIO)如何影响股票市场的信息传播。我的研究结果表明,CIO 会加剧信息在公司间的缓慢传播。由于 50%以上的机构投资者持有集中的股票投资组合,我推断拥有 CIO 的公司之间存在着根本性的联系。这些公司的月度股票回报表现出交叉可预测性,导致基于 CIO 的同行动量策略表现优于 Ali 和 Hirshleifer(2020 年)的共享分析师动量策略。这种反常现象主要源于持有较少股票的机构投资者,他们采用被动资产管理,其特点是较低的投资组合周转率和更多的委托投资。
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Gradual information diffusion across commonly owned firms

This paper studies how common institutional ownership (CIO) affects information diffusion in the stock market. My findings suggest that CIO can exacerbate the slow spread of information across firms. With over 50% of institutional investors holding concentrated stock portfolios, I infer a fundamental connection among firms with CIO. These firms exhibit cross-predictability in monthly stock returns, leading to a CIO-based peer momentum strategy that outperforms Ali and Hirshleifer's (2020) shared-analyst momentum strategy. This anomaly stems primarily from institutional investors with fewer stock holdings, who employ passive asset management characterized by lower portfolio turnover and more delegated investment.

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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
期刊最新文献
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