{"title":"信息在共同拥有的企业中逐渐扩散","authors":"Jie Ying","doi":"10.1016/j.jfineco.2024.103852","DOIUrl":null,"url":null,"abstract":"<div><p>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 <span>Ali and Hirshleifer</span>'s (<span>2020</span>) 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.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":null,"pages":null},"PeriodicalIF":10.4000,"publicationDate":"2024-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Gradual information diffusion across commonly owned firms\",\"authors\":\"Jie Ying\",\"doi\":\"10.1016/j.jfineco.2024.103852\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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 <span>Ali and Hirshleifer</span>'s (<span>2020</span>) 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.</p></div>\",\"PeriodicalId\":51346,\"journal\":{\"name\":\"Journal of Financial Economics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":10.4000,\"publicationDate\":\"2024-04-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304405X24000758\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304405X24000758","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.