haku: @indexterm RETURN ON INVESTMENT / yhteensä: 664
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| Tekijä: | Nagel, S. |
| Otsikko: | Short sales, institutional investors and the cross-section of stock returns |
| Lehti: | Journal of Financial Economics
2005 : NOV, VOL. 78:2, p. 277-309 |
| Asiasana: | institutional investors return on investment |
| Vapaa asiasana: | short sales |
| Kieli: | eng |
| Tiivistelmä: | Short-sale constraints are most likely to bind among stocks with low institutional ownership. Because of institutional constraints, most professional investors simply never sell short and hence cannot trade against overpricing of stocks they do not own. Furthermore, stock loan supply tends to be sparse and short selling more expensive when institutional ownership is low. Institutional ownership is used as a proxy, and it is found that short-sale constraints help explain cross-sectional stock return anomalies. In specific, holding size fixed, the underperformance of stocks with high market-to-book, analyst forecast dispersion, turnover or volatility is most pronounced among stocks with low institutional ownership. |
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