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Earnings Surprise, Portfolio Inertia and Stock Price Volatility
Shunwu HUANG, Wang CHANG, Lan ZHENG
系统科学与信息学报(英文) ›› 2015, Vol. 3 ›› Issue (4) : 301-320.
PDF(209 KB)
PDF(209 KB)
Earnings Surprise, Portfolio Inertia and Stock Price Volatility
Earnings Surprise, Portfolio Inertia and Stock Price Volatility
From the perspective of the mediation effect, this paper investigates whether institutional investors adjust their portfolios according to the listed companies earnings surprise. We find that the portfolio adjustments by institutional investors exert the mediation effect on the relationship between earnings surprise and stock price volatility. Institutional investors actively manage their portfolios in the rising market, which induces the stock price volatility; while they less adjust their portfolio in the falling market, the volatility declines. This paper helps understand the role of institutional investors in the fluctuation of stock prices, and provides a new basis for decision making of regulatory administration.
From the perspective of the mediation effect, this paper investigates whether institutional investors adjust their portfolios according to the listed companies earnings surprise. We find that the portfolio adjustments by institutional investors exert the mediation effect on the relationship between earnings surprise and stock price volatility. Institutional investors actively manage their portfolios in the rising market, which induces the stock price volatility; while they less adjust their portfolio in the falling market, the volatility declines. This paper helps understand the role of institutional investors in the fluctuation of stock prices, and provides a new basis for decision making of regulatory administration.
institutional investor / earnings surprise / mediating effect / portfolio inertia / stock price volatility {{custom_keyword}} /
institutional investor / earnings surprise / mediating effect / portfolio inertia / stock price volatility {{custom_keyword}} /
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Supported by National Social Science Foundation of China (14BJY181)
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