Tournament-type utility, absolute cumulative intra-quarter return, institutional feedback trading and return autocorrelation

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Tournament-type utility, absolute cumulative intra-quarter return, institutional feedback trading and return autocorrelation

Popis výsledku v původním jazyce

We examine the behavioral basis of Johnson&apos;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&amp;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&amp;P500 futures position data. The pattern&apos;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.

Název v anglickém jazyce

Tournament-type utility, absolute cumulative intra-quarter return, institutional feedback trading and return autocorrelation

Popis výsledku anglicky

We examine the behavioral basis of Johnson&apos;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&amp;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&amp;P500 futures position data. The pattern&apos;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.

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

2025

Kód důvěrnosti údajů

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

Název periodika

Journal of Behavioural and Experimental Finance

ISSN

2214-6350

e-ISSN

2214-6369

Svazek periodika

45

Číslo periodika v rámci svazku

March 2025

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

16

Strana od-do

101010

Kód UT WoS článku

001402751100001

EID výsledku v databázi Scopus

2-s2.0-85213220417