Sökning: id:"swepub:oai:DiVA.org:umu-150508" >
Investor Base and S...
Investor Base and Stock Return Anomalies
-
- Anchev, Stefan, 1986- (författare)
- Umeå universitet,Företagsekonomi,Accounting
-
(creator_code:org_t)
- Engelska.
- Relaterad länk:
-
https://urn.kb.se/re...
Abstract
Ämnesord
Stäng
- After controlling for market capitalization, the predictability of future stock returns associated with each of the earnings-to-price ratio, the book-to-market ratio, the past return, the total volatility of returns and the return on assets is more pronounced among stocks with smaller total and/or institutional investor bases. These results appear even after controlling for several other stock characteristics and potential risk factors and they are both statistically and economically meaningful. Thus, they are consistent with the hypothesis that the incomplete dissemination of information across investors helps in explaining the occurrence and the persistence of cross-sectional stock return anomalies.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Publikations- och innehållstyp
- vet (ämneskategori)
- ovr (ämneskategori)