Information Release and Institutional Investment Behaviors

摘要：

Based on H-S model,we compare,by expanding condition of information release,news watchersprofit with momentum and contrarian traders,and explain momentum trade behaviors under the condition of the reality in China.We build a theoretical model to prove: 1) When the speed of information transmitted to the price declines,the more dispersed information is,the weaker the impact of information on the total yield of the stock market is.And this weakened speed is rapidly accelerating with the spread of information;2) Because the institutions may not possess all information and the period in possession of information may not be too early,the deceleration spread of information makes information tradersand arbitrageursprofit space become very limited.

关键词： Momentum trade Constraint of short sale Information release H-S model

作者: Kebin Deng Shengnan Yang

作者单位: School of Management and Research Center for Intemational Trade and Economy,Guangdong University of College of Economics,Jinan University

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 792-798

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）