Institutions and the book-to-market effect: The role of investment horizon
buir.contributor.author | Akdeniz, Levent | |
buir.contributor.orcid | Akdeniz, Levent|0000-0002-8918-2482 | |
dc.citation.epage | 153 | en_US |
dc.citation.spage | 140 | |
dc.citation.volumeNumber | 84 | |
dc.contributor.author | Iqbal, M. S. | |
dc.contributor.author | Salih, A. | |
dc.contributor.author | Akdeniz, Levent | |
dc.date.accessioned | 2024-03-13T11:02:54Z | |
dc.date.available | 2024-03-13T11:02:54Z | |
dc.date.issued | 2022-11-16 | |
dc.department | Department of Economics | |
dc.description.abstract | In this study, we investigate the differential contribution of institutions with different investment horizons in the book-to-market effect. We find that long-horizon institutions tend to buy (sell) stocks with positive (negative) past intangible information. This behavior exacerbates market overreaction and magnifies intangible return reversals, thus contributing to the book-to-market effect. On the other hand, short-horizon institutions trade independent of intangible information, and their trading in the direction of intangible information does not contribute to the book-to-market effect. Moreover, our findings also support that short-horizon institutions are better informed than long-horizon institutions. | |
dc.description.provenance | Made available in DSpace on 2024-03-13T11:02:54Z (GMT). No. of bitstreams: 1 Institutions_and_the_book-to-market_effect_The_role_of_investment_horizon.pdf: 598136 bytes, checksum: 2244f95a2067068f14c9bc1a18863359 (MD5) Previous issue date: 2022-11-16 | en |
dc.identifier.doi | 10.1016/j.iref.2022.10.017 | |
dc.identifier.eissn | 1873-8036 | |
dc.identifier.issn | 1059-0560 | |
dc.identifier.uri | https://hdl.handle.net/11693/114679 | |
dc.language.iso | en | |
dc.publisher | Elsevier BV | |
dc.relation.isversionof | https://doi.org/10.1016/j.iref.2022.10.017 | |
dc.rights | CC BY 4.0 DEED (Attribution 4.0 International) | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.source.title | International Review of Economics & Finance | |
dc.subject | Institutions | |
dc.subject | Investment horizon | |
dc.subject | Book-to-market | |
dc.subject | Market overreaction | |
dc.title | Institutions and the book-to-market effect: The role of investment horizon | |
dc.type | Article |
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