Anton, Miguel and Polk, Christopher (2014) Connected stocks. Journal of Finance, 69 (3). 1099 - 1127. ISSN 0022-1082
Full text not available from this repository.Abstract
We connect stocks through their common active mutual fund owners. We show that the degree of shared ownership forecasts cross‐sectional variation in return correlation, controlling for exposure to systematic return factors, style and sector similarity, and many other pair characteristics. We argue that shared ownership causes this excess comovement based on evidence from a natural experiment—the 2003 mutual fund trading scandal. These results motivate a novel cross‐stock‐reversal trading strategy exploiting information contained in ownership connections. We show that long‐short hedge fund index returns covary negatively with this strategy, suggesting these funds may exacerbate this excess comovement.
| Item Type: | Article |
|---|---|
| Official URL: | https://onlinelibrary.wiley.com/journal/15406261 |
| Additional Information: | © 2014 The American Finance Association |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HG Finance |
| Date Deposited: | 23 May 2014 13:10 |
| Last Modified: | 24 Apr 2024 03:51 |
| Projects: | EMAIFAP–FP7-PEOPLE-2011-Marie Curie CIG |
| Funders: | European Commission |
| URI: | http://eprints.lse.ac.uk/id/eprint/37374 |
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