Evaluating the performance of value versus glamour stocks: the impact of selection bias
Article Abstract:
The possibility that selection bias influenced the variance in returns of value stocks and glamor stocks in the Compustat file was examined. Value stocks have high book-to-market ratios while glamor stocks have low book-to-market ratios. Stock data from the files of Compustat and the Center for Research in Security Prices (CRSP) were compared. It was concluded that the discrepancy between the CRSP and Compustat was not substantial. About 14.8% of the CRSP company-years missing from Compustat files were closed-end funds, REITs and ADRs while another 3.1% which were missing were delisted or financially troubled firms.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1995
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The impact of institutional trading on stock prices
Article Abstract:
Institutional investors trading in the stock market did not destabilize the prices of individual stocks because they followed a broad range of styles and strategies, and their trades offset each other without any effect on stock prices. Studies revealed that small stocks showed weak evidence of herding and stronger evidence of positive-feedback trading, while the largest stocks showed no evidence of either herding or positive-feedback trading. No constant proof of a particular definite correlation was found linking changes in institutional holdings to contemporaneous excess returns.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1992
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Market underreaction to open market share repurchases
Article Abstract:
A survey of 1,239 open market stock repurchase announcements made between Jan. 1980 and Dec. 1990 shows that investors do not value such announcements during the short term. This observation contradicts the usual reason for companies' repurchase decision, which is that stocks are undervalued and therefore repurchasing them constitutes a wise investment move. Although undervaluation may play a part in the decision, there are other determinants to consider depending on the type of stocks traded.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1995
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