When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?
研究了机构投资者是否基于14个股票市场异常现象进行交易，发现当异常信息通过学术论文和会计数据公开后，异常交易增加，尤其在高换手率的对冲基金和机构中，且这种交易增加与异常收益的衰减相关。
This paper studies whether institutional investors trade on 14 well documented stock market anomalies. We show that there is an increase in anomaly-based trading when information about the anomalies is readily available through academic publications and the release of necessary accounting data. This finding is more pronounced among hedge funds and institutions with high turnover, that is, the subset of investors who likely have the abilities and incentives to act on the anomalies. We directly relate the increase in trading to the observed decay in post-publication anomaly returns. Our results support the role of institutional investors in the arbitrage process and in improving market efficiency. This paper was accepted by Renée Adams, finance.