Trading volume and prediction of stock return reversals: Conditioning on investor types' trading

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10395923" target="_blank" >RIV/00216208:11230/19:10395923 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=dRXMtrOItq" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=dRXMtrOItq</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1002/for.2582" target="_blank" >10.1002/for.2582</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Trading volume and prediction of stock return reversals: Conditioning on investor types' trading

Popis výsledku v původním jazyce

We show that contrasting results on trading volume&apos;s predictive role for short-horizon reversals in stock returns can be reconciled by conditioning on different investor types&apos; trading. Using unique trading data by investor type from Korea, we provide explicit evidence of three distinct mechanisms leading to contrasting outcomes: (i) informed buying-price increases accompanied by high institutional buying volume are less likely to reverse; (ii) liquidity selling-price declines accompanied by high institutional selling volume in institutional investor habitat are more likely to reverse; (iii) attention-driven speculative buying-price increases accompanied by high individual buying-volume in individual investor habitat are more likely to reverse. Our approach to predict which mechanism will prevail improves reversal forecasts following return shocks: An augmented contrarian strategy utilizing our ex ante formulation increases short-horizon reversal strategy profitability by 40-70% in the US and Korean stock markets.

Název v anglickém jazyce

Trading volume and prediction of stock return reversals: Conditioning on investor types' trading

Popis výsledku anglicky

We show that contrasting results on trading volume&apos;s predictive role for short-horizon reversals in stock returns can be reconciled by conditioning on different investor types&apos; trading. Using unique trading data by investor type from Korea, we provide explicit evidence of three distinct mechanisms leading to contrasting outcomes: (i) informed buying-price increases accompanied by high institutional buying volume are less likely to reverse; (ii) liquidity selling-price declines accompanied by high institutional selling volume in institutional investor habitat are more likely to reverse; (iii) attention-driven speculative buying-price increases accompanied by high individual buying-volume in individual investor habitat are more likely to reverse. Our approach to predict which mechanism will prevail improves reversal forecasts following return shocks: An augmented contrarian strategy utilizing our ex ante formulation increases short-horizon reversal strategy profitability by 40-70% in the US and Korean stock markets.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Forecasting

ISSN

0277-6693

e-ISSN

—

Svazek periodika

38

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

18

Strana od-do

582-599

Kód UT WoS článku

000478595100007

EID výsledku v databázi Scopus

2-s2.0-85063148624