Abstract

We operationalize Stein’s (2009) overcrowding concept in the context of investor response to daily stock return shocks and examine its underlying behavioral motivation. We define chasing at the overshooting point as evidence of overcrowding. Using trading data by investor type from Korea, we find that while institutional investors display informed trading, they fail to recognize the predictable overshooting point when responding to return shocks and/or accompanying information, resulting in an overcrowded response. The main consequence is suffering a cost of immediacy. Size of institutional crowding is positively related to the size of initial response and institutional investor population, but unrelated to future returns, with no evidence of adapting to past performance; collectively consistent with overcrowding driven by aversion to miss out.

摘要

我们将 Stein 的 ( 2009) 在投资者对每日股票回报冲击的反应背景下过度拥挤的概念，并检验其潜在的行为动机。我们将在超调点追逐定义为过度拥挤的证据。使用来自韩国的投资者类型的交易数据，我们发现虽然机构投资者显示了知情交易，但他们在响应回报冲击和/或伴随信息时未能识别可预测的超调点，导致过度拥挤的响应。主要后果是要付出即时性的代价。机构拥挤的规模与初始反应规模和机构投资者数量正相关，但与未来回报无关，没有适应过去业绩的证据；总体上与因厌恶错过而导致的过度拥挤相一致。