Umfang:
1 Online-Ressource (49 p)
Inhalt:
Anchoring bias (AB) measured at the end of each month by the absolute slope coefficient of a 1-year rolling window regressing relative net purchase ratio on a 52-week high ratio, significantly and negatively predicts 1-months-ahead stock returns both in-sample and out-of-sample. We show conceptually and empirically that although the retail investors have the most considerable anchoring bias, only both the anchoring biases of the entire market and institutional investors have favorable forecasting ability, especially at the short horizon. The predictive power of anchoring bias mainly comes from the “unique information” of anchoring bias and the “noise information”. The forecasting ability is still economically and statistically significant by controlling several other firm-specific characteristics that may affect stocks’ expected returns, adjusting for several asset pricing factors, and splitting the sample period into boom and recession periods. Overall, our evidence highlights the importance of the entire market’s and institutional investors’ anchoring bias
Sprache:
Englisch
