REVIEW OF FINANCE · VOL. 17, ISSUE. 3· JULY 2013

投資者情緒和收益聯動性：來自拆股和公司總部變動的證據

作者：Alok Kumar (University of Miami), Jeremy K. Page (Brigham Young University), Oliver G. Spalt (Tilburg University)

摘要：我們檢驗了是否個人投資者和機構投資者的交易活動會引起股票收益的聯動。在拆股方面，個人交易相關性在拆股前随股價變動降低，在拆股後随股價變動上升。這種相關性的變動引起了收益聯動性的改變。在面闆數據中，當個人交易更為相關或總體不确定性放大了行為偏差時，低價股票的收益聯動性會被放大。另外，我們在同一地區的股票和公司改變總部時發現了同樣的模式。相比之下，機構交易會減弱收益聯動性。

Investor Sentiment and Return Comovements: Evidence from Stock Splits and Headquarters Changes

Alok Kumar (University of Miami), Jeremy K. Page (Brigham Young University), Oliver G. Spalt (Tilburg University)

ABSTRACT: We examine whether the trading activities of retail and institutional investors cause comovements in stock returns. Around stock splits, retail trading correlations (RTCs) decrease with stocks in the presplit price range and increase with stocks in the post-split price range. These shifts in RTCs induce changes in return comovements. In the cross section, return comovements among low-priced stocks are amplified when retail trades are more correlated and when aggregate uncertainty amplifies behavioral biases. We find similar patterns among local stocks and when firms change their corporate headquarters. In contrast to retail trading, institutional trading attenuates return comovements.

原文鍊接：http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1724022

翻譯：金明