|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: SSRN-id1496974. ; Size: 367K
|
|
Market Segmentation and Cross-Predictability of Returns
Lior Menzly
University of Chicago - Booth School of Business
Oguzhan Ozbas
University of Southern California - Marshall School of Business - Finance and Business Economics Department
October 29, 2009
Journal of Finance, Forthcoming
Abstract:
We present evidence supporting the hypothesis that due to investor specialization and market segmentation, value-relevant information diffuses gradually in financial markets. Using the stock market as our setting, we find that (i) stocks that are in economically related supplier and customer industries cross-predict each other's returns, (ii) the magnitude of return cross-predictability declines with the number of informed investors in the market as proxied by the level of analyst coverage and institutional ownership, and (iii) changes in the stock holdings of institutional investors mirror the model trading behavior of informed investors.
Number of Pages in PDF File: 65
Accepted Paper Series
Download This Paper
Date posted: May 25, 2007
; Last revised: November 2, 2009
Suggested CitationMenzly, Lior and Ozbas, Oguzhan, Market Segmentation and Cross-Predictability of Returns (October 29, 2009). Journal of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=989080
|
| Feedback to SSRN (Beta) |
|
|
|
|
|
|
