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Market Segmentation and Cross-predictability of Returns
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Market Segmentation and Cross-predictability of Returns
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Journal Article
Market Segmentation and Cross-predictability of Returns
2010
Overview
We present evidence supporting the hypothesis that due to investor specialization and market segmentation, value-relevant information diffuses gradually in financial markets. Using the stock market as our setting, we find that (i) stocks that are in economically related supplier and customer industries cross-predict each other's returns, (ii) the magnitude of return cross-predictability declines with the number of informed investors in the market as proxied by the level of analyst coverage and institutional ownership, and (iii) changes in the stock holdings of institutional investors mirror the model trading behavior of informed investors.
Publisher
Blackwell Publishing Inc,Wiley Periodicals,Blackwell Publishers Inc
