Who underreacts to cash-flow news? evidence from trading between individuals and institutions

被引：225

作者：

Cohen, RB

Gompers, PA

Vuolteenaho, T ^{[1
]}

机构：

[1] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA

[2] Harvard Univ, Sch Business, Boston, MA 02163 USA

[3] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2002年 / 66卷 / 2-3期

关键词：

overreaction; expected-return news; expected returns; investor heterogeneity;

D O I：

10.1016/S0304-405X(02)00229-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A large body of literature suggests that firm-level stock prices "underreact" to news about future cash flows; i.e., shocks to a firm's expected cash flows are positively correlated with shocks to expected returns on its stock. We examine the joint behavior of returns, cash-flow news, and trading between individuals and institutions. Institutions buy shares from (sell shares to) individuals in response to positive (negative) cash-flow news, thus exploiting the underreaction phenomenon. Institutions are not simply following price momentum strategies: When price goes up (down) in the absence of any cash-flow news, institutions sell shares to (buy shares from) individuals. Although institutions are trading in the "right" direction, institutions as a group outperform individuals by only 1.44% per annum before transaction and other costs, because they are extremely conservative in deviating from the value-weighted market index. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：409 / 462

页数：54

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