Institutional Investors, Intangible Information and the Book-to-Market Effect
This paper establishes a robust link between the trading behavior of institutions and the book-to-market effect. Building on the work of Daniel and Titman (2006), who argue that the book-to-market effect is driven by the reversal of the intangible return, I find that institutions tend to buy (sell) shares in herds in response to positive (negative) intangible information, and that the reversal of the intangible return is most pronounced for high institutional-herding stocks. Furthermore, the book-to-market effect is large and significant in high institutional-herding stocks, but nonexistent in low institutional-herding stocks. This influence of institutional herding on the book-to-market effect is distinct from that of firm size. Among stocks with intense institutional herding, the difference in returns between high and low book-to-market stocks cannot be explained by the Fama-French three-factor model. These results are consistent with the view that the tendency of institutions to herd in situations of intangible information exacerbates price overreaction, contributing to the value premium.
Book-to-Market Effect Institutional Investors Intangible Information Overreaction Herding
Hao Jiang
RSM Erasmus University,the Netherlands
国际会议
大连
英文
1-53
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）