Tuesday, November 10, 2015
Slow Trading and Stock Return Predictability
By Matthijs Lof and Matti Suominen, both from Aalto University School of Business
Market returns predict the future abnormal returns on small and illiquid stocks, implying attractive investment strategies for investors investing in the size premium or in small and illiquid stocks either directly or through exchange traded funds. In their paper, the authors provide evidence that this return predictability is due to institutional investors’ trading patterns, and demonstrate that some hedge funds exploit this return predictability.
Download the full article here.
From the November 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Market returns predict the future abnormal returns on small and illiquid stocks, implying attractive investment strategies for investors investing in the size premium or in small and illiquid stocks either directly or through exchange traded funds. In their paper, the authors provide evidence that this return predictability is due to institutional investors’ trading patterns, and demonstrate that some hedge funds exploit this return predictability.
Download the full article here.
From the November 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge funds, institutional investors, liquidity, return predictability
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