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Glamour Versus Value: Trading Behavior Of Institutions And Individual Investors

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  • Vivek Sharma
  • Jungshik Hur
  • Heiwai Lee

Abstract

We design a new metric to measure the net buying and selling by institutions and individual investors and find that from 1980 to 2004 institutional investors were net buyers of growth stocks and net sellers of value stocks, implying that individual investors were net buyers of value stocks and net sellers of glamour stocks. The institutional preference for glamour and value stocks seems to be related to sell‐side analysts' recommendations and recent favorable stock price performances, especially during the post‐1994 period. Finally, the institutional buying of growth stocks and sale of value stocks was not based on superior information.

Suggested Citation

  • Vivek Sharma & Jungshik Hur & Heiwai Lee, 2008. "Glamour Versus Value: Trading Behavior Of Institutions And Individual Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(1), pages 65-84, March.
    • Handle: RePEc:bla:jfnres:v:31:y:2008:i:1:p:65-84
    DOI: 10.1111/j.1475-6803.2008.00232.x
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    Cited by:

    1. Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan, 2012. "Latent Fundamentals Arbitrage with a Mixed Effects Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 317-335.
    2. Huang, Wei & Paul, Donna L., 2017. "Institutional holdings, investment opportunities and dividend policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 152-161.
    3. Hung, Weifeng & Huang, Sheng-Tang & Lu, Chia-Chi & Liu, Nathan, 2015. "Trading behavior and stock returns in Japan," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 200-212.
    4. Brounen, Dirk & Kok, Nils & Ling, David C., 2012. "Shareholder composition, share turnover, and returns in volatile markets: The case of international REITs," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1867-1889.
    5. Jiang, Hao, 2010. "Institutional investors, intangible information, and the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 96(1), pages 98-126, April.

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