کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
983520 1480471 2008 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Gradual information diffusion and contrarian strategies
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Gradual information diffusion and contrarian strategies
چکیده انگلیسی
Various rational and behavioral models have been proposed to explain contrarian portfolio returns. In this article, I test the gradual information diffusion model of Hong and Stein [Hong, H., & Stein J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54, 2143-2184]. Specifically, I study contrarian strategies based on past long-term returns and fundamental value-to-price ratios. Using ex post returns as a proxy for expected returns and size-controlled analyst coverage as a proxy for the rate of information diffusion, I show that contrarian portfolio returns decline monotonically with increasing rates of information diffusion. These results are consistent with the predictions of the Hong and Stein model. In addition, I show that analyst coverage is more important among glamour than value stocks, supporting the view that investors are more prone to decision biases when it comes to pricing hard-to-value glamour stocks for which information is relatively more ambiguous.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 48, Issue 3, August 2008, Pages 579-604
نویسندگان
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