Hedge fund vs. non-hedge fund institutional demand and the book-to-market effect
DOI
10.1016/j.jbankfin.2018.04.021
Document Type
Journal Article
Publication Date
7-1-2018
Publication Title
Journal of Banking and Finance
Volume
92
First Page
51
Last Page
66
ISSN
3784266
Keywords
Book-to-market effect, Hedge funds, Institutional demand
Abstract
Recent studies have documented that institutional investors trade contrary to the predictions of the book-to market anomaly. We examine whether a prominent sub-group of institutional investors, namely hedge funds, differ from other institutions in terms of their trading behavior with respect to the book-to-market effect. We find that hedge funds significantly alter their trading preferences with respect to growth and value stocks, after book-to-market values become public information. More importantly, we show that hedge funds are better able to identify overpriced growth stocks compared to other institutions. Our results contribute to the literature on institutional investors’ trading with respect to stock return anomalies.
Open Access
Green Accepted
Preprint
Repository Citation
Caglayan, M., Celiker, U., & Sonaer, G. (2018). Hedge fund vs. non-hedge fund institutional demand and the book-to-market effect. Journal of Banking and Finance, 92, 51-66. https://doi.org/10.1016/j.jbankfin.2018.04.021