REVIEW OF FINANCE· VOL. 19, ISSUE. 4 ·JULY 2016

短期交易和股票收益異象：動量效應，反轉效應和股票發行異象

作者：Martijn Cremers,Ankur Pareek

摘要：本文探讨了短期交易與股票價格有效性的關系。文章使用了基于機構投資者季度組合持倉的久期衡量方式，以及已有指标，如交易量、短期投資的機構投資者比例和基金換手率。結果表明：在被短期投資者主要持有的股票中，收益的動量效應以及随之而來的收益反轉程度更強，特别是當這些機構投資者由于近期的超常表現而過度自信時。我們的結果符合Daniel、Hirshleifer和Subrahmanyam（1998）提出的行為理論，并且同短期機構投資者能夠提高價格有效性的觀點相異。

關鍵詞：股票持有久期，收益異象，機構投資者

Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and Share Issuance

Martijn Cremers, Ankur Pareek

ABSTRACT

This article examines how the extent of short-term trading relates to the efficiency of stock prices. We employ a new duration measure based on quarterly institutional investors’ portfolio holdings, next to existing proxies such as trading volume, the percentage of transient institutions, and fund turnover. Momentum returns and subsequent returns reversal are generally much stronger for stocks held primarily by short-term investors, especially if these investors recently had superior recent performance which could make them overconfident. Our results point toward the behavioral theory in Daniel, Hirshleifer and Subrahmanyam (1998) and seem inconsistent with short-term institutions improving efficiency.

Keywords: stock holding duration, return anomalies, institutional investors

原文鍊接：

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1571191

翻譯：金明