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Does Investor Recognition Predict Excess Returns?
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- Bodnaruk, Andriy (author)
- Stockholm School of Economics,Handelshögskolan i Stockholm
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- Östberg, Per (author)
- Stockholm School of Economics,Handelshögskolan i Stockholm
- (creator_code:org_t)
- Elsevier BV, 2024
- English.
- In: SSRN Electronic Journal. - : Elsevier BV. - 1556-5068.
- Other publication (other academic/artistic)
Abstract
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- We test Merton's (1987) hypothesis using individual level stockholdings of Swedish investors. Controlling for size and other factors, we find that lower levels of investor recognition lead to greater future excess returns. Positive (negative) changes in investor recognition are followed by lower (higher) excess returns. The effect of investor recognition is more pronounced for young firms. We demonstrate that investor recognition is conditionally priced.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
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- vet (subject category)
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