Journal of Banking and Finance ·Volume 92, pp 51–66· JULY 2018

对冲基金与非对冲基金的机构需求以及账面市值比效应

作者：Mustafa Onur Caglayan (Department of Finance, College of Business, Florida International University) Umut Celiker (Department of Finance, Monte Ahuja College of Business, Cleveland State University) Gokhan Sonaer (Department of Economics and Finance, Palumbo-Donahue School of Business, Duquesne University)

摘要：最近的研究表明，机构投资者的交易违背了账面市值比异象的预测。我们研究了机构投资者中的一个突出的细分小组，即对冲基金，与其他机构在账面市值比效应方面的交易行为是否有所不同。我们发现，在账面市值比成为公开信息之后，对冲基金显著改变其对成长股票和价值股票的交易偏好。更重要的是，我们表明对冲基金比其他机构更能识别高估的成长股。我们的结果对关于股票收益异象的机构投资者交易方面的文献有所贡献。

关键词：账面市值比效应；机构需求；对冲基金

Hedge fund vs. non-hedge fund institutional demand and the book-to-market effect

Mustafa Onur Caglayan (Department of Finance, College of Business, Florida International University) Umut Celiker (Department of Finance, Monte Ahuja College of Business, Cleveland State University) Gokhan Sonaer (Department of Economics and Finance, Palumbo-Donahue School of Business, Duquesne University)

ABSTRACT

Recent studies have documented that institutional investors trade contrary to the predictions of the book-to market anomaly. We examine whether a prominent sub-group of institutional investors, namely hedge funds, differ from other institutions in terms of their trading behavior with respect to the book-to-market effect. We find that hedge funds significantly alter their trading preferences with respect to growth and value stocks, after book-to-market values become public information. More importantly, we show that hedge funds are better able to identify overpriced growth stocks compared to other institutions. Our results contribute to the literature on institutional investors’ trading with respect to stock return anomalies.

Keywords: Book-to-market effect; Institutional demand; Hedge funds

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618300943

翻译：张展