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

短期交易和股票收益异象：动量效应，反转效应和股票发行异象

作者：Martijn Cremers,Ankur Pareek

摘要：本文探讨了短期交易与股票价格有效性的关系。文章使用了基于机构投资者季度组合持仓的久期衡量方式，以及已有指标，如交易量、短期投资的机构投资者比例和基金换手率。结果表明：在被短期投资者主要持有的股票中，收益的动量效应以及随之而来的收益反转程度更强，特别是当这些机构投资者由于近期的超常表现而过度自信时。我们的结果符合Daniel、Hirshleifer和Subrahmanyam（1998）提出的行为理论，并且同短期机构投资者能够提高价格有效性的观点相异。

关键词：股票持有久期，收益异象，机构投资者

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

原文链接：

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

翻译：金明