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Institutional preferences, demand shocks and the distress anomaly

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Institutional preferences, demand shocks and the distress anomaly. / Ye, Qing; Wu, Yuliang; Liu, Jia.

In: The British Accounting Review, Vol. 51, No. 1, 01.01.2019, p. 72-91.

Research output: Contribution to journalArticlepeer-review

Harvard

Ye, Q, Wu, Y & Liu, J 2019, 'Institutional preferences, demand shocks and the distress anomaly', The British Accounting Review, vol. 51, no. 1, pp. 72-91. https://doi.org/10.1016/j.bar.2018.04.003

APA

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Author

Ye, Qing ; Wu, Yuliang ; Liu, Jia. / Institutional preferences, demand shocks and the distress anomaly. In: The British Accounting Review. 2019 ; Vol. 51, No. 1. pp. 72-91.

Bibtex

@article{3fc531174b5641dab07c52612c4cdd74,
title = "Institutional preferences, demand shocks and the distress anomaly",
abstract = "Our paper examines the distress anomaly on the Chinese stock markets. We show that the anomaly disappears after controlling for institutional ownership. We propose two hypotheses. The growing scale of institutional investors and changes in institutional preferences can generate greater demand shocks for stocks with low distress risk than those with high distress risk, causing the former to outperform the latter. Consistent with our hypotheses, the growth of institutions explains the anomaly when the institutional market share increases rapidly. We also show that institutional preferences for stocks with low distress risk have significantly increased over time and changes in preferences also explain the anomaly. Finally, momentum trading and gradual incorporation of distress information cannot account for the anomaly.",
keywords = "Institutional investors, Institutional preferences, Distress, The chinese stock markets",
author = "Qing Ye and Yuliang Wu and Jia Liu",
year = "2019",
month = jan,
day = "1",
doi = "10.1016/j.bar.2018.04.003",
language = "English",
volume = "51",
pages = "72--91",
journal = "The British Accounting Review",
issn = "0890-8389",
publisher = "Academic Press Inc.",
number = "1",

}

RIS

TY - JOUR

T1 - Institutional preferences, demand shocks and the distress anomaly

AU - Ye, Qing

AU - Wu, Yuliang

AU - Liu, Jia

PY - 2019/1/1

Y1 - 2019/1/1

N2 - Our paper examines the distress anomaly on the Chinese stock markets. We show that the anomaly disappears after controlling for institutional ownership. We propose two hypotheses. The growing scale of institutional investors and changes in institutional preferences can generate greater demand shocks for stocks with low distress risk than those with high distress risk, causing the former to outperform the latter. Consistent with our hypotheses, the growth of institutions explains the anomaly when the institutional market share increases rapidly. We also show that institutional preferences for stocks with low distress risk have significantly increased over time and changes in preferences also explain the anomaly. Finally, momentum trading and gradual incorporation of distress information cannot account for the anomaly.

AB - Our paper examines the distress anomaly on the Chinese stock markets. We show that the anomaly disappears after controlling for institutional ownership. We propose two hypotheses. The growing scale of institutional investors and changes in institutional preferences can generate greater demand shocks for stocks with low distress risk than those with high distress risk, causing the former to outperform the latter. Consistent with our hypotheses, the growth of institutions explains the anomaly when the institutional market share increases rapidly. We also show that institutional preferences for stocks with low distress risk have significantly increased over time and changes in preferences also explain the anomaly. Finally, momentum trading and gradual incorporation of distress information cannot account for the anomaly.

KW - Institutional investors

KW - Institutional preferences

KW - Distress

KW - The chinese stock markets

U2 - 10.1016/j.bar.2018.04.003

DO - 10.1016/j.bar.2018.04.003

M3 - Article

VL - 51

SP - 72

EP - 91

JO - The British Accounting Review

JF - The British Accounting Review

SN - 0890-8389

IS - 1

ER -

ID: 20504148