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https://scholarbank.nus.edu.sg/handle/10635/13395
DC Field | Value | |
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dc.title | Institutional investors, intangible information and the book-to-market effect | |
dc.contributor.author | JIANG HAO | |
dc.date.accessioned | 2010-04-08T10:32:39Z | |
dc.date.available | 2010-04-08T10:32:39Z | |
dc.date.issued | 2007-07-18 | |
dc.identifier.citation | JIANG HAO (2007-07-18). Institutional investors, intangible information and the book-to-market effect. ScholarBank@NUS Repository. | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/13395 | |
dc.description.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. | |
dc.language.iso | en | |
dc.subject | Institutional Investors, Intangible Information, Book-to-Market Effect, Herding, Overreaction, Mispricing | |
dc.type | Thesis | |
dc.contributor.department | FINANCE & ACCOUNTING | |
dc.contributor.supervisor | TAKESHI YAMADA | |
dc.description.degree | Ph.D | |
dc.description.degreeconferred | DOCTOR OF PHILOSOPHY | |
dc.identifier.isiut | NOT_IN_WOS | |
Appears in Collections: | Ph.D Theses (Open) |
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