Earticle

초록

영어

Similarity between two stocks is measured by the distance between their characteristics such as price, size, book-to-market, return on assets, and investment- to-assets. We find that after a stocks most similar stocks have experienced high (low) returns in the past month, this focal stock tends to earn an abnormally high (low) return in the current month. The long-short portfolio strategy sorted on similar-stocks past average return earns a monthly CAPM alpha of 1:25% and a Fama-French six- factor alpha of 0:85%. This similarity effect is robust after controlling for style investing and a wide range of well-known rm-level characteristics that can predict returns in the cross section. Our result is consistent with the increased propensity for investors to buy other stocks with similar characteristics after experiencing positive returns for a currently held stock. We also explore other potential explanations for our findings.

목차

Abstract
1 Introduction
2 Data Description and Summary Statistics
2.1 SIM Definition
2.2 Control Variables
2.3 Retail Order Imbalance
2.4 International Sample
3 Empirical Analysis: The Predictive Power of Similar-Stock Returns
3.1 Unconditional Sorts Based on the Average Returns of Similar Stocks
3.2 Double Sorting
3.3 Fama-MacBeth Regressions
3.4 Similarity Effect over the Long Horizon
3.5 Subsequent Earnings Announcements
3.6 Retail Order Imbalance
4 Further Robustness Checks and Alternative Channels
4.1 Subsample Analysis
4.2 Interaction with Institutional Ownership
4.3 Evidence from International Markets
5 Conclusions
References
Figure
Table

키워드

저자

• Wei He [ Southwestern University of Finance and Economics. ]
• Yuehan Wang [ PBCSF, Tsinghua University. ]
• Jianfeng Yu [ PBCSF, Tsinghua University. ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330