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Short-term Trading and Stock MispricingShort-term Trading and Stock Mispricing
- Other Titles
- Short-term Trading and Stock Mispricing
- Authors
- 하진기
- Issue Date
- Dec-2023
- Publisher
- 한국자료분석학회
- Keywords
- Short-term Trading; Institutional Trading; Investment Horizon; Stock Mispricing.
- Citation
- Journal of The Korean Data Analysis Society, v.25, no.6, pp 2053 - 2063
- Pages
- 11
- Journal Title
- Journal of The Korean Data Analysis Society
- Volume
- 25
- Number
- 6
- Start Page
- 2053
- End Page
- 2063
- ISSN
- 1229-2354
2733-9173
- Abstract
- 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.
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