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- Publisher Website: 10.1093/rof/rfx028
- Scopus: eid_2-s2.0-85078815249
- WOS: WOS:000456674400007
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Article: Does Information Acquisition Alleviate Market Anomalies? Categorization Bias in Stock Splits
Title | Does Information Acquisition Alleviate Market Anomalies? Categorization Bias in Stock Splits |
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Authors | |
Keywords | G02 - Behavioral Finance: Underlying Principles G11 - Portfolio Choice Investment Decisions G14 - Information and Market Efficiency Event Studies |
Issue Date | 2019 |
Publisher | Oxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/ |
Citation | Review of Finance, 2019, v. 23 n. 1, p. 245-277 How to Cite? |
Abstract | Using a unique proprietary account-level trading dataset in China, we investigate how active information acquisition alleviates price-based return comovement, a typical anomaly in stock splits. We find that: 1) individual trading drives the comovement and the trading correlation between split stocks and the low-price portfolio increases significantly after splits; 2) individuals can learn the firm fundamentals through information acquisition, which effectively alleviates their categorized bias; and 3) the role of information acquisition is more significant in environments characterized by greater uncertainty. Our results are robust to different specifications and alternative measures. Taken together, this paper emphasizes the important role of information acquisition in alleviating behavioral bias and improving decision-making. |
Persistent Identifier | http://hdl.handle.net/10722/279021 |
ISSN | 2023 Impact Factor: 5.6 2023 SCImago Journal Rankings: 7.769 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Kong, D | - |
dc.contributor.author | Lin, C | - |
dc.contributor.author | Liu, S | - |
dc.date.accessioned | 2019-10-21T02:18:10Z | - |
dc.date.available | 2019-10-21T02:18:10Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Review of Finance, 2019, v. 23 n. 1, p. 245-277 | - |
dc.identifier.issn | 1572-3097 | - |
dc.identifier.uri | http://hdl.handle.net/10722/279021 | - |
dc.description.abstract | Using a unique proprietary account-level trading dataset in China, we investigate how active information acquisition alleviates price-based return comovement, a typical anomaly in stock splits. We find that: 1) individual trading drives the comovement and the trading correlation between split stocks and the low-price portfolio increases significantly after splits; 2) individuals can learn the firm fundamentals through information acquisition, which effectively alleviates their categorized bias; and 3) the role of information acquisition is more significant in environments characterized by greater uncertainty. Our results are robust to different specifications and alternative measures. Taken together, this paper emphasizes the important role of information acquisition in alleviating behavioral bias and improving decision-making. | - |
dc.language | eng | - |
dc.publisher | Oxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/ | - |
dc.relation.ispartof | Review of Finance | - |
dc.rights | Pre-print: Journal Title] ©: [year] [owner as specified on the article] Published by Oxford University Press [on behalf of xxxxxx]. All rights reserved. Pre-print (Once an article is published, preprint notice should be amended to): This is an electronic version of an article published in [include the complete citation information for the final version of the Article as published in the print edition of the Journal.] Post-print: This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here]. | - |
dc.subject | G02 - Behavioral Finance: Underlying Principles | - |
dc.subject | G11 - Portfolio Choice | - |
dc.subject | Investment Decisions | - |
dc.subject | G14 - Information and Market Efficiency | - |
dc.subject | Event Studies | - |
dc.title | Does Information Acquisition Alleviate Market Anomalies? Categorization Bias in Stock Splits | - |
dc.type | Article | - |
dc.identifier.email | Lin, C: chenlin1@hku.hk | - |
dc.identifier.authority | Lin, C=rp01808 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1093/rof/rfx028 | - |
dc.identifier.scopus | eid_2-s2.0-85078815249 | - |
dc.identifier.hkuros | 308096 | - |
dc.identifier.volume | 23 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 245 | - |
dc.identifier.epage | 277 | - |
dc.identifier.isi | WOS:000456674400007 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 1572-3097 | - |