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Deviations from norms and informed trading
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Kumar, Alok and Page, Jeremy K. (2014) Deviations from norms and informed trading. Journal of Financial and Quantitative Analysis, 49 (04). pp. 1005-1037. doi:10.1017/S0022109014000519 ISSN 0022-1090.
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Official URL: http://dx.doi.org/10.1017/S0022109014000519
Abstract
Investment managers are subject to personal and institutional norms that can constrain their investment choices. We conjecture that norm-constrained investors deviate from such norms only when they have compelling information, and we predict that deviating investments earn relatively high abnormal returns ex post. Consistent with our conjecture, we find that institutions averse to holding lottery-like stocks or sin stocks earn relatively high abnormal returns when they choose to hold such stocks. We find similar but weaker results for deviations from broader style categories. Overall, our evidence indicates that deviations from established institutional or social norms signal informed investing.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Journal of Financial and Quantitative Analysis | ||||||
| Publisher: | Cambridge University Press | ||||||
| ISSN: | 0022-1090 | ||||||
| Official Date: | August 2014 | ||||||
| Dates: |
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| Volume: | 49 | ||||||
| Number: | 04 | ||||||
| Page Range: | pp. 1005-1037 | ||||||
| DOI: | 10.1017/S0022109014000519 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access |
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