Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/13395
Title: Institutional investors, intangible information and the book-to-market effect
Authors: JIANG HAO
Keywords: Institutional Investors, Intangible Information, Book-to-Market Effect, Herding, Overreaction, Mispricing
Issue Date: 18-Jul-2007
Source: JIANG HAO (2007-07-18). Institutional investors, intangible information and the book-to-market effect. ScholarBank@NUS Repository.
Abstract: This thesis investigates how the trading behavior of institutions relates to "overreaction" to intangible information as captured by intangible returns driving the book-to-market effect in line with Daniel and Titman (2006). I find that institutions buy (sell) shares in herds in response to positive (negative) intangible information, and that the "overreaction" to intangible information and the book-to-market effect are most pronounced for high institutional-herding stocks. Using stocks with high levels of institutional herding, an investment strategy buying low intangible return stocks and shorting high intangible return stocks yields an annual Carhart 4-factor alpha of 7.7%. These results are consistent with the view that the tendency of institutions to herd in situations of vague information destabilizes asset prices, leading to return predictability.
URI: http://scholarbank.nus.edu.sg/handle/10635/13395
Appears in Collections:Ph.D Theses (Open)

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