题 目：Institutional Investment Constraints and Stock Prices
报告人：Bing Han (University of Texas at Austin)
时 间：6月9日（周三）10:00-11:30am
地 点：成人直播新楼214教室
摘 要：We propose and test the hypothesis that investment constraints in delegated portfolio management may distort institutional investors' demand for stocks, leading to price underreaction to news and cross-sectional stock return predictability. We find that institutions tend not to buy more of a stock with good news if they already overweight it;they are reluctant to sell a stock with bad news if they already underweight it. Stocks with good news that institutions overweight have abnormal high future returns, while stocks with bad news that institutions underweight have abnormal low future returns. The pricing impact of institutional investment constraints shed new lights on asset pricing anomalies such as stock price momentum and post earnings announcement drift, as well as the return predictive power of institutions' trades.
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