JOURNAL OF FINANCIAL ECONOMICS 119·MAY 2015

機構投資者與股票收益異常波動

作者：Roger M. Edelen, Ozgur S. Ince, Gregory B. Kadlec

摘要：在出現顯著的股票收益異象之前我們研究機構投資者的需求，并且發現機構投資者有很強的動機購買被分類為價格高估的股票，這些股票通常顯著負相關于事後的異常回報。我們的研究結果不同于大量揭示機構投資需求和未來回報之間正相關的論述。我們在可測量水平上追蹤了這些差異。我們也發現了在季度水平上兩者之間有正相關關系。然而，這種相關關系在年度水平上則會劇變為負相關關系。我們考慮了機構交易者違背異象組合的交易趨勢的幾種解釋。我們的論證依據在很大程度上排除了基于流量和有限套利的解釋，但卻與長期表現欠佳的機構誘導偏好股票特點保持較高的一緻性。

關鍵詞：投資者基礎 有限套利 定價偏誤 羊群效應 交易策略

Institutional investors and stock return anomalies

Roger M. Edelen, Ozgur S. Ince, Gregory B. Kadlec

ABSTRACT

We examine institutional demand prior to well-known stock return anomalies and find that institutions have a strong tendency to buy stocks classified as overvalued (short leg of anomaly), and that these stocks have particularly negative ex post abnormal returns. Our results differ from numerous studies documenting a positive relation between institutional demand and future returns. We trace the difference to measurement horizon. We too find a positive relation at a quarterly horizon. However, the relation turns strongly negative at the one-year horizon used in anomaly studies. We consider several explanations for institutions’ tendency to trade contrary to anomaly prescriptions. Our evidence largely rules out explanations based on flow and limits-of-arbitrage, but is more consistent with agency-induced preferences for stock characteristics that relate to poor long-run performance.

Keywords: Investor base, Limits-of-arbitrage, Mispricing, Herding, Trading strategies

原文鍊接：http://gsm.ucdavis.edu/sites/main/files/file-attachments/anomaliesnapa15.pdf

翻譯：秦秀婷