Journal
JOURNAL OF FINANCE
Volume 65, Issue 4, Pages 1555-1580Publisher
WILEY-BLACKWELL
DOI: 10.1111/j.1540-6261.2010.01578.x
Keywords
-
Categories
Ask authors/readers for more resources
We present evidence supporting the hypothesis that due to investor specialization and market segmentation, value-relevant information diffuses gradually in financial markets. Using the stock market as our setting, we find that (i) stocks that are in economically related supplier and customer industries cross-predict each other's returns, (ii) the magnitude of return cross-predictability declines with the number of informed investors in the market as proxied by the level of analyst coverage and institutional ownership, and (iii) changes in the stock holdings of institutional investors mirror the model trading behavior of informed investors.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available