Internet Appendix to: Short-Term Trading and Stock Return Anomalies

Forthcoming in Review of Finance

11 Pages Posted: 15 Jul 2014

See all articles by Martijn Cremers

Martijn Cremers

University of Notre Dame

Ankur Pareek

University of Nevada, Las Vegas - Lee Business School, University of Nevada - Las Vegas

Date Written: April 10, 2014

Abstract

This paper examines how the extent of short-term trading relates to the efficiency of stock prices. We employ a new duration measure based on quarterly institutional investors’ portfolio holdings, next to existing proxies such as trading volume, the percentage of transient institutions, and fund turnover. Momentum returns and subsequent returns reversal are generally much stronger for stocks held primarily by short-term investors, especially if these investors recently had superior recent performance which could make them overconfident. Our results point towards the behavioral theory in Daniel, Hirshleifer and Subrahmanyam (1998) and seem inconsistent with short-term institutions improving efficiency.

The paper "Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and Share Issuance" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=1571191.

Suggested Citation

Cremers, K. J. Martijn and Pareek, Ankur, Internet Appendix to: Short-Term Trading and Stock Return Anomalies (April 10, 2014). Forthcoming in Review of Finance. Available at SSRN: https://ssrn.com/abstract=2464597

K. J. Martijn Cremers (Contact Author)

University of Notre Dame ( email )

P.O. Box 399
Notre Dame, IN 46556-0399
United States

Ankur Pareek

University of Nevada, Las Vegas - Lee Business School, University of Nevada - Las Vegas ( email )

4505 S. Maryland Parkway
Las Vegas, NV 89154
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
53
Abstract Views
465
rank
376,086
PlumX Metrics