Fund Family Co-holding: Opinion Disagreement and Stock Return
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| Title | Fund Family Co-holding: Opinion Disagreement and Stock Return
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| Author | Li Ke, Lu Rong and Xia Yi |
| Organization | School of Finance, Shanghai University of Finance and Economics |
| Email | Li.ke@mail.shufe.edu.cn；rosegf@163.com；xiayi91@sina.cn |
| Key Words | Family Fund; Stocks Heavily Held by Funds; Opinion Disagreement; Information Superiority |
| Abstract | Fund family co-holding will reduce the opinion divergence of stocks and push up the stock price. Even though the idea has been existing in the stock market for a long time, there is no direct evidence supporting this hypothesis. In this paper, we use fund family co-holding data to test its impact on stock return, and analyze the opinion divergence. Furthermore, we construct a new hedge portfolio based on the co-holding stocks, and the average return of the hedge strategy reaches 3.9%per quarter, which means the fund family co-holding increases the price of holdings. Besides, we directly compare the difference between the fund family co-holdings and the rest of stocks co-held by funds. We also find that family fund co-holding reduces the opinion divergence of the stocks without information superiority. This evidence suggests that even with short-sale constraints and information sharing obstacles, investors can improve connection with each other by some mechanisms to reduce their opinion divergence, and ultimately affect the stock price. |
| Serial Number | WP903 |
| Time | 2015-07-28 |
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