Breadth of Ownership and Stock Returns
por Rose, Phil
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This book focuses on the forecasting power of breadth of ownership of Portuguese mutual funds on stock returns. Majority of studies tend to focus on the markets of China and the United States. We utilize a model with differences of opinion and short-sales constraints similar to that of Chen et al. (2002). Using data on mutual fund holdings we find that stocks with the largest negative changes in breadth tend to significantly underperform stocks with the largest positive changes in breadth in short horizons of one month and one quarter. However, the results are mixed when looking at longer horizons. We also find evidence to show that short-sales constraints matter for stock returns. Therefore, when short sales constraints are binding stocks prices are high when compared to fundamentals. This proves that our results are consistent with the Miller (1977) model. Further, we show that are results hold during periods of a financial crisis as well. This study also highlights that there are limits to arbitrage, as suggested by Shleifer and Vishny (1997), because of market frictions such as short-sales constraints which can lead to abnormal returns in constraint stocks.
Detalles de producto
Biografía del artista:
Phil Rose obtained his MSc degree in Finance from the University of Porto in 2014. He presently works in Internal Audit to evaluate and improve the effectiveness of risk management and governance processes in the public sector. He also works to enhance community financial literacy through his writing various articles, radio programs and consulting.
Número de páginas:
Tipo de medio:
LAP Lambert Academic Publishing
Tipo de producto:
Libro de bolsillo
Fecha de aparición:
18 de enero de 2016
Dimensiones del paquete:
0.22 x 0.15 x 0.004 m; 0.154 kg