Stock characteristics, investor type and market myopia
Fecha
2016Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Impacto
|
10.1080/15427560.2016.1170682
Resumen
This paper investigates the role of stock characteristics and investor type in market myopia. Using the Generalized Method of Moments (GMM) to control for endogeneity, we obtain evidence indicating that market myopia is greater among stocks that are relatively hard-to-value and hard-to-arbitrage, and find this conclusion to be robust to the choice of proxy for these characteristics. We also obtai ...
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This paper investigates the role of stock characteristics and investor type in market myopia. Using the Generalized Method of Moments (GMM) to control for endogeneity, we obtain evidence indicating that market myopia is greater among stocks that are relatively hard-to-value and hard-to-arbitrage, and find this conclusion to be robust to the choice of proxy for these characteristics. We also obtain a significantly negative relationship between institutional ownership and market myopia, due to the former acting as informed traders who exploit mispricing created by individual traders. It is important to note that the impact of their role becomes significant only when they have a sizeable share in firm ownership, as is the case of UK mutual funds and pension funds and Spanish banks. [--]
Materias
Market myopia,
Hard-to-value stocks,
Institutional investors
Editor
Taylor & Francis
Publicado en
Journal of Behavioral Finance, 17, 2, 183-199
Notas
This is an accepted manuscript of an article published by Taylor & Francis in Journal of Behavioral Science on 2016/05/25, available online: http://dx.doi.org/10.1080/15427560.2016.1170682.
Departamento
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Versión del editor
Entidades Financiadoras
This paper has received financial support from the Spanish Ministry of Economy and Competitiveness (ECO 2012-35946-C02-01).