Institutional Investors and Stock Return Anomalies

Edelen, Roger M.; Ince, Ozgur; Kadlec, Gregory B.

doi:10.2139/ssrn.2359744

Cited by 59 publications

(129 citation statements)

References 28 publications

Supporting

Mentioning

115

Contrasting

Unclassified

Order By: Relevance

“…The reason that long-term investors (institutions) could buy overbought shares in IPOs/TTF is same with Edelen, Ince, and Kadlec [8], who provide evidences that long-term investors and speculators prefer to purchase shares classified as overbought (momentum trading psychology) based on a number of classical equities-trading strategies (trend-follow trading; without any TTF functionality in this case).…”

Section: Introductionsupporting

confidence: 58%

IPO Trading with Short-term & Intraday Temporal Functionalities

Basdekidou¹

2016

Bus Eco J

View full text Add to dashboard Cite

Trading is a temporal (i.e. time-based) historical living system with a number of functions, like: Initial Public Offerings (IPO), Seasoned Equity Offerings (SEO), stock (instrument) price action Gaps, Breakouts, etc. In this domain, a number of warning dynamics timing functionalities is available, like: On Open Gup-Ups (ooGUp), On Open Gup-Downs (ooGDn), Morning Breakouts (mB), etc. All these time-based functionalities are regarded as 2 nd level functions (i.e. functions of functions; because of the timing involved) with great trading opportunities, and they are defined-for the first time in the corporate finance literature-by this paper as Temporal (timing) Trading Functionalities (TTF). In particular, the IPOs with the embedded TTF functionalities are great trading opportunities for the institutions, the individual (noncommercial) market investors, the swing traders, and the speculators. Data analysis shows that during the seasoned equity offerings time, shareowners significantly increase their share share-holding, including offerings that would be classified as overpriced at that time; hence, the involved trading volatility is increased resulting in great trading and profit opportunities. This paper contributes to corporate finance literature by examining the IPOs functions and define and document their inherit TTF functionalities. For this purpose, four categories of shareholders are regarded: The longterm institution and non-commercial traders (investors), the swing momentary institution traders (institutions), the shortterm non-commercial traders (speculators) and the intraday non-commercial traders (speculators). Paper concludes that, in IPO/TTF trading, the swing traders(institutions), incorporating in their trading strategies the short-term TTF functionalities, are benefit at the expense of momentary and intraday speculators, while the long-term investors are not affected by the IPO offerings.

show abstract

Section: Introductionsupporting

confidence: 58%

IPO Trading with Short-term & Intraday Temporal Functionalities

Basdekidou¹

2016

Bus Eco J

View full text Add to dashboard Cite

show abstract

“…In accordance to the above situation, Edelen, Ince, and Kadlec (2015), examined corporate trading and securities (instruments) return divergences, and discovered that corporate firms prefer to purchase shares categorized as overbought and this is regarded as a non-positive association (i.e. relationship functionality) in trading timing.…”

Section: Motivation and Previous Literaturementioning

confidence: 99%

“…The main reason that the institutions and the long-term investors usually buy overbought shares, is explained in Edelen, Ince, and Kadlec (2015), who in their paper reasoning that long-term investors, traders and speculators prefer to build positions on shares classified as overbought (i.e. a momentum trading psychology functionality) based on a number of classical equities-trading strategies (i.e.…”

Section: Problem Introductionmentioning

confidence: 99%

The Overnight Return Temporal Market Anomaly

Basdekidou

2017

IJEF

View full text Add to dashboard Cite

The main goal of this paper is to introduce an innovative market anomaly relating to "time" during the overnight post-market session and therefore characterized as a temporal market anomaly. Anomalies in the markets appear from time to time and test the efficient market hypothesis. Many investors and traders believe that the markets follow the efficient market hypothesis. According to this theory the current price of a security (trading instrument) reflects all public and private information about that security (instrument). Changes in price are due to insider information, current news, or sudden events, which are impossible to predict. Hence, security's price action follows the path of a random walk, the hypothesis and argument of which states that current price is not dependent on past price and is normally or abnormally distributed over time. In financial and economical literature, many studies have presented approaches about what the academics call "market anomalies" and according to literature the anomalies are classified in three categories: Fundamental, Technical, and Calendar-based anomalies. In this article another class of market anomalies is introduced, that simply could be referred to as "temporal" because of the timing functionality involved. Finally, I will discuss one of these "temporal" anomalies, called the overnight return temporal market anomaly. The presented research shows that momentum profit accumulates entirely overnight, while profit on all other strategies occurs entirely intraday. These findings strongly reject classical theories of intraday versus overnight returns.

show abstract

“…The current article says that the EMH and RWH both ignore the realities of the markets (emotional factors), in that the participants are not completely rational and that current price moves are not independent of previous moves (Lou, Polk, & Skouras, 2016;Edelen, Ince, & Kadlec, 2015;Tsoutsoura, 2004;Ahn, Conrad, & Dittmar, 2003; Asness, Moskowitz, & Pedersen, 2013).…”

Section: Problem Introductionmentioning

confidence: 99%

Green Entrepreneurship & Corporate Social Responsibility: Comparative and Correlative Performance Analysis

Basdekidou¹

2017

IJEF

View full text Add to dashboard Cite

In investment and trading, different CSR/CSE (Corporate Social Responsibility/Corporate Social Entrepreneurship) moral ethical firms, categorized in a number of groups, may be suitable for different financial instruments (i.e. USA sector ETFs) and different market volatility situations. For the purpose of this article we first (i) analyze the trading return performance of four CSR/CSE categories (in particular: green building, green products, green services, and green transportation); and then (ii) examine and comment the correlation between the market performance of a number of firms belonging in these four CSR/CSE categories and historical ETF market volatility. Finally, we (iii) suggest CSR firms as trading tools according to dominant market volatility. Other CSR/CSE categories (like: sustainability, executive sustainability, renewable energy, green IT, green ICT, etc.) would be examined in future research by following the introduced by this paper approach. Paper concludes that, in relatively less volatile markets the Green Transportation CSR/CSE ethical firms display better results. On the other hand, in strong market volatile situations it is better to trade Green Products CSR/CSE and Green Services CSR/CSE ethical firms. Finally, the Green Building CSR/CSE ethical firms are uncorrelated with the market volatility, as well as their performance is poor in all market cases.

show abstract

Institutional Investors and Stock Return Anomalies

Cited by 59 publications

References 28 publications

IPO Trading with Short-term & Intraday Temporal Functionalities

IPO Trading with Short-term & Intraday Temporal Functionalities

The Overnight Return Temporal Market Anomaly

Green Entrepreneurship & Corporate Social Responsibility: Comparative and Correlative Performance Analysis

Contact Info

Product

Resources

About