REVIEW OF FINANCE · VOL. 17, ISSUE. 3· JULY 2013

投资者情绪和收益联动性：来自拆股和公司总部变动的证据

作者：Alok Kumar (University of Miami), Jeremy K. Page (Brigham Young University), Oliver G. Spalt (Tilburg University)

摘要：我们检验了是否个人投资者和机构投资者的交易活动会引起股票收益的联动。在拆股方面，个人交易相关性在拆股前随股价变动降低，在拆股后随股价变动上升。这种相关性的变动引起了收益联动性的改变。在面板数据中，当个人交易更为相关或总体不确定性放大了行为偏差时，低价股票的收益联动性会被放大。另外，我们在同一地区的股票和公司改变总部时发现了同样的模式。相比之下，机构交易会减弱收益联动性。

Investor Sentiment and Return Comovements: Evidence from Stock Splits and Headquarters Changes

Alok Kumar (University of Miami), Jeremy K. Page (Brigham Young University), Oliver G. Spalt (Tilburg University)

ABSTRACT: We examine whether the trading activities of retail and institutional investors cause comovements in stock returns. Around stock splits, retail trading correlations (RTCs) decrease with stocks in the presplit price range and increase with stocks in the post-split price range. These shifts in RTCs induce changes in return comovements. In the cross section, return comovements among low-priced stocks are amplified when retail trades are more correlated and when aggregate uncertainty amplifies behavioral biases. We find similar patterns among local stocks and when firms change their corporate headquarters. In contrast to retail trading, institutional trading attenuates return comovements.

原文链接：http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1724022

翻译：金明