Abstract:
Using a unique dataset in China, we investigate who drives stock price-based comovement and how information acquisition alleviates investors’ behavioral bias. We find that: price-based comovement is significantly driven by individuals’ trading behaviors. Moreover, investors’ information acquisition effectively alleviates individuals’ behavioral bias. Our results are robust to different specifications and alternative measures. We provide clear evidence for regulators about the issue of minority shareholder protections.
Adaoglu, Cahit, and Meziane Lasfer. 2011. “Why Do Companies Pay Stock Dividends? The Case of Bonus Distributions In An Inflationary Environment” Journal of Business Finance & Accounting, 38(5-6):601~627.
[11]
Ang, A., R. J. Hodrick, Y. H. Xing, and X. Y. Zhang. 2009. “High Idiosyncratic Volatility And Low Returns: International And Further Us Evidence” Journal of Financial Economics, 91(1):1~23.
[12]
Brandt, Michael W., Alon Brav, John R. Graham, and Alok Kumar. 2010. “The Idiosyncratic Volatility Puzzle: Time Trend Or Speculative Episodes?” Review of Financial Studies, 23(2):863~899.
[13]
Campbell, J. Y., M. Lettau, B. G. Malkiel, and Y. X. Xu. 2001. “Have Individual Stocks Become More Volatile? An Empirical Exploration Of Idiosyncratic Risk” Journal of Finance, 56(1):1~43.
[14]
Campbell, J. Y., T. Ramadorai, and A. Schwartz. 2009. “Caught On Tape: Institutional Trading, Stock Returns, And Earnings Announcements” Journal of Financial Economics, 92(1):66~91.
[15]
Choi, Hyunyoung, and H. A. L. Varian. 2012. “Predicting The Present With Google Trends” Economic Record, 88(s1):2~9.