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The Value of Active Investing: Can Active Institutional Investors Remove Excess Comovement of Stock Returns?

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This study uses the method of Cremers and Petajisto (2009) to separate active institutional investors from passive ones and shows that only active institutional investors are able to alleviate the anomalous comovement of stock returns. Focusing on two events directly linked to the excess comovement anomaly: S&P 500 Index additions and stock splits, I find that if an event stock has more active institutional investors trading in the post-event period, the anomalous comovement effect disappears. In contrast, if an event stock experiences a massive exit of active institutional investors, this market anomaly persists. Furthermore, the exit of active institutional investors also results in a strong price synchronicity effect. Overall, my findings support the notion that active investing is socially valuable in mitigating the influences of uninformed investors and enhancing stock market?s information efficiency in the long run..Printed Journal

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Ketersediaan

Call Number	Location	Available
JFQA4703	PSB lt.dasar - Pascasarjana	1

Penerbit	Cambridge Cambridge University Press.,
Edisi	-
Subjek	Institutional Investors Stock split S&P 500 Index Comovement
ISBN/ISSN	-
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data