When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?

Published Online:https://doi.org/10.1287/mnsc.2018.3066

References

  • Akbas F, Armstrong S, Sorescu S, Subrahmanyam A (2015) Smart money, dumb money, and capital market anomalies. J. Financial Econom. 118(2):355–382.CrossrefGoogle Scholar
  • Ali A, Chen J, Yao T, Yu T (2012) Mutual fund competition and profiting from the post earnings announcement drift. Working paper, University of Texas at Dallas, Dallas.CrossrefGoogle Scholar
  • Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.CrossrefGoogle Scholar
  • Anderson A, Dyl E (2005) Market structure and trading volume. J. Financial Res. 28(1):115–131.CrossrefGoogle Scholar
  • Barberis N, Thaler R (2003) A survey of behavioral finance. Constantinides G, Harris M, Stulz R, eds. Handbook of the Economics of Finance (Elsevier Science B.V., Amsterdam), 1051–1121.Google Scholar
  • Berk J, Van Binsbergen J (2015) Measuring skill in the mutual fund industry. J. Financial Econom. 118(1):1–20.CrossrefGoogle Scholar
  • Bernard V, Thomas J (1989) Post-earnings-announcement drift: Delayed price responses or risk premium. J. Accounting Res. 27:1–36.CrossrefGoogle Scholar
  • Blume ME, Keim DB (2017) The changing nature of institutional stock investing. Critical Finance Rev. 6(1):1–41.CrossrefGoogle Scholar
  • Bushee B (2001) Do institutional investors prefer near-term earnings over long-run value? Contemporary Accounting Res. 18(2):207–246.CrossrefGoogle Scholar
  • Campbell JY, Hilscher J, Szilagyi J (2008) In search of distress risk. J. Finance 63(6):2899–2939.CrossrefGoogle Scholar
  • Cella C, Ellul A, Giannetti M (2013) Investors’ horizons and the amplification of market shocks. Rev. Financial Stud. 26(7):1607–1648.CrossrefGoogle Scholar
  • Chan L, Chen H, Lakonishok J (2002) On mutual fund investment styles. Rev. Financial Stud. 15(5):1407–1437.CrossrefGoogle Scholar
  • Chen L, Novy-Marx R, Zhang L (2011) An alternative three-factor model. Working paper, Cheung Kong Graduate School of Business, Beijing.CrossrefGoogle Scholar
  • Chordia T, Subrahmanyam A, Tong Q (2014) Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? J. Accounting Econom. 58(1):41–58.CrossrefGoogle Scholar
  • Cochrane JH (1999) Portfolio advice for a multifactor world. Econom. Perspect., Federal Reserve Bank Chicago 23:59–78.Google Scholar
  • Cooper MJ, Gulen H, Schill MJ (2008) Asset growth and the cross-section of stock returns. J. Finance 63(4):1609–1652.CrossrefGoogle Scholar
  • Daniel K, Titman S (2006) Market reactions to tangible and intangible information. J. Finance 61(4):1605–1643.CrossrefGoogle Scholar
  • Daniel K, Grinblatt M, Titman S, Wermers R (1997) Measuring mutual fund performance with characteristic-based benchmarks. J. Finance 52(3):1035–1058.CrossrefGoogle Scholar
  • Dichev I (1998) Is the risk of bankruptcy a systematic risk? J. Finance 53(3):1131–1147.CrossrefGoogle Scholar
  • Edelen R, Ince O, Kadlec G (2016) Institutional investors and stock returns anomalies. J. Financial Econom. 119(3):472–488.CrossrefGoogle Scholar
  • Engelberg J, McLean D, Pontiff J (2017) Analysts and anomalies. Working paper, University of California, San Diego.CrossrefGoogle Scholar
  • Engelberg J, McLean D, Pontiff J (2019) Anomalies and news. J. Finance. Forthcoming.Google Scholar
  • Fama E (1976) Foundations of Finance (Basic Books, New York).Google Scholar
  • Fama E (1998) Market efficiency, long-term returns, and behavioral finance. J. Financial Econom. 49(3):283–306.CrossrefGoogle Scholar
  • Fama E, French K (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.CrossrefGoogle Scholar
  • Fama E, French K (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.CrossrefGoogle Scholar
  • Fama E, French K (1996) Multifactor explanations of asset pricing anomalies. J. Finance 51(1):55–84.CrossrefGoogle Scholar
  • Fama E, French K (2006) Profitability, investment, and average returns. J. Financial Econom. 82(3):491–518.CrossrefGoogle Scholar
  • Fama E, French K (2008) Dissecting anomalies. J. Finance 63(4):1653–1678.CrossrefGoogle Scholar
  • Frazzini A, Lamont O (2008) Dumb money: Mutual fund flows and the cross-section of stock returns. J. Financial Econom. 88(2):299–322.CrossrefGoogle Scholar
  • Goetzmann W, Ingersoll J, Ross S (2003) High-water marks and hedge fund management contracts. J. Finance 58(4):1685–1718.CrossrefGoogle Scholar
  • Gompers P, Metrick A (2001) Institutional investors and equity prices. Quart. J. Econom. 116(1):229–259.CrossrefGoogle Scholar
  • Graham J, Harvey C (2001) The theory and practice of corporate finance: Evidence from the field. J. Financial Econom. 60(2–3):187–243.CrossrefGoogle Scholar
  • Green J, Hand J, Soliman M (2011) Going, going, gone? The demise of the accruals anomaly. Management Sci. 57(5):797–816.LinkGoogle Scholar
  • Green J, Hand J, Zhang F (2013) The supraview of return predictive signals. Rev. Accounting Stud. 18(3):692–730.CrossrefGoogle Scholar
  • Griffin J, Harris J, Shu T, Topaloglu S (2011) Who drove and burst the tech bubble? J. Finance 66(4):1251–1290.CrossrefGoogle Scholar
  • Grinblatt M, Titman S, Wermers R (1995) Momentum investment strategies portfolio performance and herding: A study of mutual fund behavior. Amer. Econom. Rev. 85(5):1088–1105.Google Scholar
  • Grossman S, Stiglitz J (1980) On the impossibility of informationally efficient markets. Amer. Econom. Rev. 70(3):393–408.Google Scholar
  • Harvey C (2017) Presidential address: The scientific outlook in financial economics. J. Finance 72(4):1399–1440.CrossrefGoogle Scholar
  • Harvey C, Liu Y, Zhu H (2016) …and the cross-section of expected returns. Rev. Financial Stud. 29(1):5–68.CrossrefGoogle Scholar
  • Heckman J (1979) Sample selection bias as a specification error. Econometrica 47(1):153–161.CrossrefGoogle Scholar
  • Hirshleifer D, Hou K, Teoh SH, Zhang Y (2004) Do investors over-value firms with bloated balance sheets. J. Accounting Econom. 38:297–331.CrossrefGoogle Scholar
  • Hou K, Xue C, Zhang L (2017) Replicating anomalies. Working paper, Ohio State University, Columbus.CrossrefGoogle Scholar
  • Hwang B, Liu B (2014) Short sellers trading on anomalies. Working paper, Cornell University, Ithaca, NY.Google Scholar
  • Jagannathan R, Malakhov A, Novikov D (2010) Do hot hands exist among hedge fund managers? An empirical evaluation. J. Finance 65(1):217–255.CrossrefGoogle Scholar
  • Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for market efficiency. J. Finance 48(1):65–91.CrossrefGoogle Scholar
  • Jiang H (2010) Institutional investors, intangible information and the book-to-market effect. J. Financial Econom. 96(1):98–126.CrossrefGoogle Scholar
  • Johnson B, Schwartz W (2000) Evidence that capital markets learn from academic research: Earnings surprises and the persistence of post-announcement drift. Working paper, University of Iowa, Iowa City.Google Scholar
  • Ke B, Ramalingegowda S (2005) Do institutional investors exploit the post-earnings announcement drift? J. Accounting Econom. 39(1):25–53.CrossrefGoogle Scholar
  • Knez P, Ready M (1996) Estimating the profits from trading strategies. Rev. Financial Stud. 9(4):1121–1163.CrossrefGoogle Scholar
  • Kokkonen J, Suominen M (2015) Hedge funds and stock market efficiency. Management Sci. 61(12):2890–2904.LinkGoogle Scholar
  • Lewellen J (2011) Institutional investors and the limits of arbitrage. J. Financial Econom. 102(1):62–82.CrossrefGoogle Scholar
  • Lesmond D, Schill M, Zhou C (2004) The illusory nature of momentum profits. J. Financial Econom. 71(2):349–380.CrossrefGoogle Scholar
  • Linnainmaa J, Roberts M (2018) The history of the cross section of stock returns. Rev. Financial Stud. 31(7):2606–2649.CrossrefGoogle Scholar
  • Lintner J (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Rev. Econom. Statist. 47(2):13–37.CrossrefGoogle Scholar
  • Lo A, MacKinlay C (1990) Data-snooping biases in tests of financial asset pricing models. Rev. Financial Stud. 3(3):431–467.CrossrefGoogle Scholar
  • Loughran T, Ritter JR (1995) The new issues puzzle. J. Finance 50(1):23–51.CrossrefGoogle Scholar
  • McLean D, Pontiff J (2016) Does academic research destroy stock return predictability? J. Finance 71(1):5–32.CrossrefGoogle Scholar
  • Novy-Marx R (2013) The other side of value: Good growth and the gross profitability premium. J. Financial Econom. 108(1):1–28.CrossrefGoogle Scholar
  • Ohlson JA (1980) Financial ratios and the probabilistic prediction of bankruptcy. J. Accounting Res. 18(1):109–131.CrossrefGoogle Scholar
  • Richardson S, Tuna I, Wysocki P (2010) Accounting anomalies and fundamental analysis: A review of recent research advances. J. Accounting Econom. 50(2–3):410–454.CrossrefGoogle Scholar
  • Sadka R (2006) Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. J. Financial Econom. 80(2):309–349.CrossrefGoogle Scholar
  • Sharpe W (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance 19(3):425–442.Google Scholar
  • Shleifer A, Vishny R (1997) The limits of arbitrage. J. Finance 52(1):32–55.CrossrefGoogle Scholar
  • Sloan RG (1996) Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3):289–315.Google Scholar
  • Stambaugh R, Yu J, Yuan Y (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104(2):288–302.CrossrefGoogle Scholar
  • Stattman D (1980) Book values and stock returns. Chicago MBA: J. Selected Papers 5:25–45.Google Scholar
  • Subrahmanyam A (2010) The cross-section of expected stock returns: What have we learnt from the past twenty-five years of research? Eur. Financial Management 14(1):12–29.Google Scholar
  • Titman S, Wei K, Xie F (2004) Capital investments and stock returns. J. Financial Quant. Anal. 39(4):677–700.CrossrefGoogle Scholar
  • Van Binsbergen J, Opp C (2019) Real Anomalies. J. Finance. Forthcoming.CrossrefGoogle Scholar
  • Xing Y (2008) Interpreting the value effect through the Q-theory: An empirical investigation. Rev. Financial Stud. 21(4):1767–1795.CrossrefGoogle Scholar
  • Yan X, Zhang Z (2009) Institutional investors and equity returns: Are short-term institutions better informed? Rev. Financial Stud. 22(2):893–924.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.