Market Segmentation and Cross‐predictability of Returns
研究发现，由于投资者专业化和市场分割，价值相关信息在金融市场中逐渐扩散。利用股票市场数据，发现经济上相关的供应商和客户行业的股票能相互预测对方的收益，且这种交叉可预测性随知情投资者数量增加而减弱。
ABSTRACT We present evidence supporting the hypothesis that due to investor specialization and market segmentation, value‐relevant information diffuses gradually in financial markets. Using the stock market as our setting, we find that (i) stocks that are in economically related supplier and customer industries cross‐predict each other's returns, (ii) the magnitude of return cross‐predictability declines with the number of informed investors in the market as proxied by the level of analyst coverage and institutional ownership, and (iii) changes in the stock holdings of institutional investors mirror the model trading behavior of informed investors.