Short-term Trading and Stock Mispricing
Short-term Trading and Stock Mispricing
- 한국자료분석학회
- Journal of The Korean Data Analysis Society (JKDAS)
- Vol.25 No.6
- 2023.12
- 2053 - 2063 (11 pages)
This paper examines the influence of short-term trading on stock mispricing. Using a mispricing index proposed by Stambaugh, Yu, Yuan (2012, 2015) as a proxy for stock mispricing, This paper investigates how sensitive quarterly short-term institutional trading is to changes in the level of stock mispricing. This paper’s main finding is that trading by short-term institutions is negatively associated with the change-of-stock mispricing index, especially when stock liquidity is high. This paper supports the theoretical view of Cespa, Vives (2015), in which short-term trading can improve price informativeness when liquidity trading is persistent. Also, this research contributes to a better understanding of the interplay between short-term trading and stock mispricing, offering insights into its role in enhancing price efficiency and market dynamics.
1. Introduction
2. Data and variable description
3. Results
4. Conclusion
References