JOURNAL OF FINANCIAL ECONOMICS 119·MAY 2015

机构投资者与股票收益异常波动

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

摘要：在出现显著的股票收益异象之前我们研究机构投资者的需求，并且发现机构投资者有很强的动机购买被分类为价格高估的股票，这些股票通常显著负相关于事后的异常回报。我们的研究结果不同于大量揭示机构投资需求和未来回报之间正相关的论述。我们在可测量水平上追踪了这些差异。我们也发现了在季度水平上两者之间有正相关关系。然而，这种相关关系在年度水平上则会剧变为负相关关系。我们考虑了机构交易者违背异象组合的交易趋势的几种解释。我们的论证依据在很大程度上排除了基于流量和有限套利的解释，但却与长期表现欠佳的机构诱导偏好股票特点保持较高的一致性。

关键词：投资者基础 有限套利 定价偏误 羊群效应 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

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

翻译：秦秀婷