Institutions and the book-to-market effect: The role of investment horizon

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buir.contributor.authorAkdeniz, Levent
buir.contributor.orcidAkdeniz, Levent|0000-0002-8918-2482
dc.citation.epage153en_US
dc.citation.spage140
dc.citation.volumeNumber84
dc.contributor.authorIqbal, M. S.
dc.contributor.authorSalih, A.
dc.contributor.authorAkdeniz, Levent
dc.date.accessioned2024-03-13T11:02:54Z
dc.date.available2024-03-13T11:02:54Z
dc.date.issued2022-11-16
dc.departmentDepartment of Economics
dc.description.abstractIn 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.provenanceMade 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: 2022-11-16en
dc.identifier.doi10.1016/j.iref.2022.10.017
dc.identifier.eissn1873-8036
dc.identifier.issn1059-0560
dc.identifier.urihttps://hdl.handle.net/11693/114679
dc.language.isoen
dc.publisherElsevier BV
dc.relation.isversionofhttps://doi.org/10.1016/j.iref.2022.10.017
dc.rightsCC BY 4.0 DEED (Attribution 4.0 International)
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.source.titleInternational Review of Economics & Finance
dc.subjectInstitutions
dc.subjectInvestment horizon
dc.subjectBook-to-market
dc.subjectMarket overreaction
dc.titleInstitutions and the book-to-market effect: The role of investment horizon
dc.typeArticle

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