File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Does Information Acquisition Alleviate Market Anomalies? Categorization Bias in Stock Splits

TitleDoes Information Acquisition Alleviate Market Anomalies? Categorization Bias in Stock Splits
Authors
KeywordsG02 - Behavioral Finance: Underlying Principles
G11 - Portfolio Choice
Investment Decisions
G14 - Information and Market Efficiency
Event Studies
Issue Date2019
PublisherOxford 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?
AbstractUsing 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 Identifierhttp://hdl.handle.net/10722/279021
ISSN
2019 Impact Factor: 2.885
2015 SCImago Journal Rankings: 3.505
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorKong, D-
dc.contributor.authorLin, C-
dc.contributor.authorLiu, S-
dc.date.accessioned2019-10-21T02:18:10Z-
dc.date.available2019-10-21T02:18:10Z-
dc.date.issued2019-
dc.identifier.citationReview of Finance, 2019, v. 23 n. 1, p. 245-277-
dc.identifier.issn1572-3097-
dc.identifier.urihttp://hdl.handle.net/10722/279021-
dc.description.abstractUsing 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.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/-
dc.relation.ispartofReview of Finance-
dc.rightsPre-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.subjectG02 - Behavioral Finance: Underlying Principles-
dc.subjectG11 - Portfolio Choice-
dc.subjectInvestment Decisions-
dc.subjectG14 - Information and Market Efficiency-
dc.subjectEvent Studies-
dc.titleDoes Information Acquisition Alleviate Market Anomalies? Categorization Bias in Stock Splits-
dc.typeArticle-
dc.identifier.emailLin, C: chenlin1@hku.hk-
dc.identifier.authorityLin, C=rp01808-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/rof/rfx028-
dc.identifier.hkuros308096-
dc.identifier.volume23-
dc.identifier.issue1-
dc.identifier.spage245-
dc.identifier.epage277-
dc.identifier.isiWOS:000456674400007-
dc.publisher.placeUnited Kingdom-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats