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- catalog abstract "A large body of literature suggests that firm-level stock prices "underreact" to news about future cash flows. We estimate avector autoregression to examine the joint behavior of returns, cash-flow news, and trading between individuals and institutions. Our main finding is that institutions buy shares from individuals in response to good cash-flow news, thus exploiting the underreaction phenomenon. Institutions are not simply following price momentum strategies: When price goes up in the absence of positive cash-flow news, institutions sell shares to individuals. The response of institutional ownership to cash-flow news is weaker for small stocks. Since small stocks also exhibit the strongest underreaction patterns, this finding is consistent with institutions facing exogenous constraints in trading small stocks.".
- catalog contributor b12159654.
- catalog contributor b12159655.
- catalog contributor b12159656.
- catalog contributor b12159657.
- catalog created "c2001.".
- catalog date "2001".
- catalog date "c2001.".
- catalog dateCopyrighted "c2001.".
- catalog description "A large body of literature suggests that firm-level stock prices "underreact" to news about future cash flows. We estimate avector autoregression to examine the joint behavior of returns, cash-flow news, and trading between individuals and institutions. Our main finding is that institutions buy shares from individuals in response to good cash-flow news, thus exploiting the underreaction phenomenon. Institutions are not simply following price momentum strategies: When price goes up in the absence of positive cash-flow news, institutions sell shares to individuals. The response of institutional ownership to cash-flow news is weaker for small stocks. Since small stocks also exhibit the strongest underreaction patterns, this finding is consistent with institutions facing exogenous constraints in trading small stocks.".
- catalog description "Includes bibliographical references.".
- catalog extent "28 p. :".
- catalog isPartOf "Working paper (Harvard Business School. Division of Research) ; 01-085.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 01-085".
- catalog issued "2001".
- catalog issued "c2001.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "Who underreacts to cash-flow news? / Randolph B. Cohen, Paul A. Gompers, and Tuomo Vuolteenaho.".
- catalog type "text".