Tournament-type utility, absolute cumulative intra-quarter return, institutional feedback trading and return autocorrelation
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F25%3A10510369" target="_blank" >RIV/00216208:11230/25:10510369 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=6pHkrlEnIh" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=6pHkrlEnIh</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jbef.2024.101010" target="_blank" >10.1016/j.jbef.2024.101010</a>
Alternative languages
Result language
angličtina
Original language name
Tournament-type utility, absolute cumulative intra-quarter return, institutional feedback trading and return autocorrelation
Original language description
We examine the behavioral basis of Johnson's (2016) model of competition among asset managers with tournament type utility, offered to explain short-horizon reversals in stock market returns. First, we report that the intriguing pattern-the absolute cumulative intra-quarter return rQ drives negative autocorrelation in S&P500 t returns-, by which Johnson (2016) supports the disagreement-about-persistence (DAP) mechanism in his model, pervasively holds in international stock markets. In contrast, we find limited evidence of institutional trading behavior consistent with the DAP mechanism, using data with institutional trader identities from Finland and S&P500 futures position data. The pattern's association with the DAP mechanism is doubtful. We document a new empirical fact, which provides a more robust alternative explanation compatible with the pervasiveness of r Q this pattern: drives the intensity of aggregate institutional positive feedback trading, which in turn drives t time-variation in return autocorrelation.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Behavioural and Experimental Finance
ISSN
2214-6350
e-ISSN
2214-6369
Volume of the periodical
45
Issue of the periodical within the volume
March 2025
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
16
Pages from-to
101010
UT code for WoS article
001402751100001
EID of the result in the Scopus database
2-s2.0-85213220417