Author : Chris Yost-Bremm
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (13 download)
Book Synopsis Abnormal Trading Around Common Factor Pricing Models by : Chris Yost-Bremm
Download or read book Abnormal Trading Around Common Factor Pricing Models written by Chris Yost-Bremm and published by . This book was released on 2014 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: I find that firms which are predicted to transfer among the factor portfolios of Fama and French (1993) exhibit strong and statistically significant short-term variation in stock price and volume. Short-term returns around the cutoff values comprising SMB and HML tend to be temporarily high if the firm is predicted to move into a long component of a factor-mimicking portfolio, and temporarily low if moving into a short component. Similar results are apparent when examining movement in and out of the 25 size and book-to-market sorted test asset portfolios. Using the investor classifications provided by Bushee (2001), I find that return and volume effects are strongest when highly active institutional investors are in consensus about newly entering into an equity position in the firm. The results raise interesting methodological questions about the pricing implications arising from common methodologies themselves.