Investor Clienteles and Habitat-Based Return Comovements

Kumar, Alok; Page, Jeremy K.; Spalt, Oliver G.

doi:10.2139/ssrn.1461855

Cited by 7 publications

(3 citation statements)

References 11 publications

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“…Kumar and Lee (2006) find that low-priced stocks have a higher concentration of retail investors. Kumar et al (2009) further show that these investors' preference for low-priced stocks might induce excess comovement. Consistent with this, Green and Hwang (2009) find that stocks that undergo splits experience a sharp increase in comovement with low-priced stocks.…”

Section: Active Institutions and Price-based Excess Comovementmentioning

confidence: 75%

“…4 My second set of results focuses on stock splits. Kumar and Lee (2006) and Kumar, Page, and Spalt (2009) find that low-priced stocks are the preferred habitat for another kind of uninformed investor: retail investors. Green and Hwang (2009) further show that this clientele effect results in anomalous price-based return comovement.…”

Section: Introductionmentioning

confidence: 99%

“…This study complements a number of studies that show the positive impact of sophisticated investors. 5 It is most closely related to Kumar et al (2009), which also looks into the relationship between the trading of various kinds of investors and return comovement. In that study, however, the authors treat all institutional investors as a homogeneous group and compare them with retail investors.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The Value of Active Investing: Can Active Institutional Investors Remove Excess Comovement of Stock Returns?

Ye¹

2012

J. Financ. Quant. Anal.

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This study uses Cremers and Petajisto’s (2009) method to separate active institutional investors from passive ones and shows that active investors can alleviate the anomalous comovement of stock returns. Focusing on 2 events linked to the excess comovement anomaly, Standard & Poor’s 500 Index additions and stock splits, I find that if an event stock has more active institutional investors trading in the post-event period, the anomalous comovement effect disappears. In contrast, if an event stock experiences a massive exit of active investors, this anomaly persists. The exit of active institutional investors also results in a strong price synchronicity effect.

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Section: Active Institutions and Price-based Excess Comovementmentioning

confidence: 75%