TY - JOUR
T1 - Short-term reversals
T2 - The effects of past returns and institutional exits
AU - Cheng, Si
AU - Hameed, Allaudeen
AU - Subrahmanyam, Avanidhar
AU - Titman, Sheridan
N1 - Funding Information:
*Cheng, [email protected], Chinese University of Hong Kong; Hameed, allaudeen@nus .edu.sg, National University of Singapore; Subrahmanyam (corresponding author), subra@anderson .ucla.edu, Anderson School of Management, University of California at Los Angeles; and Titman, [email protected], McCombs School of Business, University of Texas at Austin. We thank an anonymous referee, Aydogan Alti, Hendrik Bessembinder (the editor), Tarun Chordia, Elroy Dimson, John Griffin, Raghu Rau, Pedro Saffi, Tao Shu, Elvira Sojli, Avi Wohl, and seminar participants at the Asian Bureau of Finance and Economic Research (ABFER) and Asian Finance Association conferences, California State University, Fullerton, Erasmus University, the Hebrew University Conference to Honor Dan Galai and Itzhak Venezia, Hong Kong University of Science and Technology, National University of Singapore, Rutgers University, Stevens Institute of Technology, the University of Cambridge, the University of Missouri–Columbia, the University of Queensland, the University of St. Gallen, and the University of Texas at Austin for helpful comments. Hameed gratefully acknowledges financial support from NUS Academic Research Grants.
PY - 2017/2/1
Y1 - 2017/2/1
N2 - Price declines over the previous quarter lead to stronger reversals across the subsequent 2 months. We explain this finding based on the dual notions that liquidity provision can influence reversals and that agents who act as de facto liquidity providers may be less active in past losers. Supporting these observations, we find that active institutions participate less in losing stocks and that the magnitude of monthly return reversals fluctuates with changes in the number of active institutional investors. Thus, we argue that fluctuations in liquidity provision with past return performance account for the link between return reversals and past returns. COPYRIGHT 2017, MICHAEL G. FOSTER SCHOOL OF BUSINESS, UNIVERSITY OF Washington, SEATTLE, WA.
AB - Price declines over the previous quarter lead to stronger reversals across the subsequent 2 months. We explain this finding based on the dual notions that liquidity provision can influence reversals and that agents who act as de facto liquidity providers may be less active in past losers. Supporting these observations, we find that active institutions participate less in losing stocks and that the magnitude of monthly return reversals fluctuates with changes in the number of active institutional investors. Thus, we argue that fluctuations in liquidity provision with past return performance account for the link between return reversals and past returns. COPYRIGHT 2017, MICHAEL G. FOSTER SCHOOL OF BUSINESS, UNIVERSITY OF Washington, SEATTLE, WA.
UR - http://www.scopus.com/inward/record.url?scp=85020784830&partnerID=8YFLogxK
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U2 - 10.1017/S0022109016000958
DO - 10.1017/S0022109016000958
M3 - Article
AN - SCOPUS:85020784830
SN - 0022-1090
VL - 52
SP - 143
EP - 173
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 1
ER -