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Institutional trading and attention bias

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  • Hung, Weifeng

Abstract

Share repurchase announcements with higher turnover ratio attract more attention from institutions than events with lower turnover ratio. The stock price behavior is associated with the institutional trading behavior around share repurchase announcements. The higher exposure to the attention bias, the worse the post-trade performance the institution earns. Because of the agency problem and lack of sophistication, domestic mutual funds suffer from attention bias in Taiwan.

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  • Hung, Weifeng, 2014. "Institutional trading and attention bias," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 71-91.
    • Handle: RePEc:eee:intfin:v:29:y:2014:i:c:p:71-91
    DOI: 10.1016/j.intfin.2013.12.001
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    Cited by:

    1. Hung, Weifeng & Huang, Sheng-Tang & Lu, Chia-Chi & Liu, Nathan, 2015. "Trading behavior and stock returns in Japan," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 200-212.
    2. Diego Agudelo & Diego Amaya & Juliana Hincapié & Julián Múnera, 2017. "Attention-based vs information-based trading around announcements. Evidence from an emerging market," Documentos de Trabajo de Valor Público 16359, Universidad EAFIT.
    3. Liyun Zhou & Weinan Lin & Chunpeng Yang, 2024. "Investor trading behavior and asset prices: Evidence from quantile regression analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1722-1744, April.
    4. I. Koetsier & J.A. Bikker, 2018. "Herding behavior of Dutch pension funds in asset class investments," Working Papers 18-04, Utrecht School of Economics.
    5. Ian Koetsier & Jacob A. Bikker, 2023. "Herd Behaviour of Pension Funds by Asset Class," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(2), pages 1-26, February.
    6. I. Koetsier & J.A. Bikker, 2018. "Herding behavior of Dutch pension funds in asset class investments," Working Papers 18-04, Utrecht School of Economics.

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