Short-term Trading and Stock Mispricing

• 영문명: Short-term Trading and Stock Mispricing
• 발행기관: 한국자료분석학회
• 저자명: JinGi Ha
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.25 No.6, 2053~2063쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2023.12.31

영문 초록

This paper examines the influence of short-term trading on stock mispricing. Using a mispricing index proposed by Stambaugh, Yu, Yuan (2012, 2015) as a proxy for stock mispricing, This paper investigates how sensitive quarterly short-term institutional trading is to changes in the level of stock mispricing. This paper’s main finding is that trading by short-term institutions is negatively associated with the change-of-stock mispricing index, especially when stock liquidity is high. This paper supports the theoretical view of Cespa, Vives (2015), in which short-term trading can improve price informativeness when liquidity trading is persistent. Also, this research contributes to a better understanding of the interplay between short-term trading and stock mispricing, offering insights into its role in enhancing price efficiency and market dynamics.

목차

1. Introduction

2. Data and variable description

3. Results

4. Conclusion

References

키워드

Short-term Trading Institutional Trading Investment Horizon Stock Mispricing