06 Mar 2023 12:15

Fabio Moneta (University of Ottawa) - Crowded Spaces and Anomalies

Meeting Room 1, San Giobbe Economics Campus

Fabio Moneta (University of Ottawa) - Crowded Spaces and Anomalies

Abstract: This paper investigates the relation between crowded trades, those in which many investors hold the same stocks possibly exhausting their liquidity provision, and future stock returns on a set of well-known stock market anomalies. We find that anomaly risk-adjusted returns is concentrated among the most (least) crowded stocks for the long-leg (short-leg) portfolio. Our results remain significant after publication dates. We also find that crowded equity positions in anomaly stocks increase institutional investor's exposure to crash risk and liquidity risk, which suggest that crowding adds a new consideration to the limits of arbitrage.



The event will be held in English

Organized by

Dipartimento di Economia (EcSeminars)

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