1. Does cross-shareholding cause return predictability?--Based on limited attention perspective.
- Author
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RAO Yu-lei, PENG Die-feng, and JIA Wen-jing
- Subjects
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STOCK exchanges , *RATE of return on stocks , *PORTFOLIO management (Investments) , *BUSINESS size , *ORGANIZATIONAL performance , *BUSINESS turnover , *MUTUAL funds - Abstract
We choose cross-shareholding A-share firms listed on China's stock market from 2005 to 2008 as our sample. Through empirical test, we find positive and significant relationship between the historical stock returns of shareholder firms and the current returns of the firms who hold stocks. By constructing a zero-investment portfolio rebalanced monthly, we capture abnormal return of 2.01% per month, which is significant after an array of adjustments. However, the significance of equity-link momentum returns are sensitive to various attention proxies, such as firm size, past performance, turnover and mutual funds' joint holding measurement, which is consistent with the hypothesis of limited attention. [ABSTRACT FROM AUTHOR]
- Published
- 2013