Institutional Investors, Intangible Information and the Book-to-Market Effect
Institutional Investors, Intangible Information and the Book-to-Market Effect
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DOI：
10.1016/j.jfineco.2009.11.007
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发表时间：
2009-01
期刊：
影响因子：
--
通讯作者：
Hao Jiang
中科院分区：
文献类型：
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作者：
Hao Jiang
本文建立了一个强大的机构交易行为和账面市值效应之间的联系。丹尼尔和Titman（2006）认为账面市值比效应是由无形回报的逆转驱动的，基于他们的研究，我发现机构倾向于在积极（消极）的无形信息下买入（卖出）股票，而且无形回报的逆转在很大一部分活跃机构朝着无形信息方向交易的股票中最为明显。此外，账面市值效应在过去机构交易频繁的股票中很大，但在机构交易适度的股票中不存在。机构交易对帐面市值比效应的影响与公司规模的影响不同。这些结果与机构倾向于向无形信息方向交易加剧了价格过度反应，从而促成价值溢价的观点一致。
This paper establishes a robust link between the trading behavior of institutions and the book-to-market effect. Building on work by Daniel and Titman (2006), who argue that the book-to-market effect is driven by the reversal of intangible returns, I find that institutions tend to buy (sell) shares in response to positive (negative) intangible information and that the reversal of the intangible return is most pronounced among stocks for which a large proportion of active institutions trade in the direction of intangible information. Furthermore, the book-to-market effect is large and significant in stocks with intense past institutional trading but nonexistent in stocks with moderate institutional trading. This influence of institutional trading on the book-to-market effect is distinct from that of firm size. These results are consistent with the view that the tendency of institutions to trade in the direction of intangible information exacerbates price overreaction, thereby contributing to the value premium.