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dc.contributor.authorYe, Q.*
dc.contributor.authorWu, Yuliang*
dc.contributor.authorLiu, J.*
dc.date.accessioned2018-05-09T09:46:05Z
dc.date.available2018-05-09T09:46:05Z
dc.date.issued2019-01
dc.identifier.citationYe Q, Wu Y and Liu J (2019) Institutional preferences, demand shocks and the distress anomaly. The British Accounting Review. 51(1): 72-91.en_US
dc.identifier.urihttp://hdl.handle.net/10454/15822
dc.descriptionYesen_US
dc.description.abstractOur paper examines the distress anomaly on the Chinese stock markets. We show that the anomaly disappears after controlling for institutional ownership. We propose two hypotheses. The growing scale of institutional investors and changes in institutional preferences can generate greater demand shocks for stocks with low distress risk than those with high distress risk, causing the former to outperform the latter. Consistent with our hypotheses, the growth of institutions explains the anomaly when the institutional market share increases rapidly. We also show that institutional preferences for stocks with low distress risk have significantly increased over time and changes in preferences also explain the anomaly. Finally, momentum trading and gradual incorporation of distress information cannot account for the anomaly.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttps://doi.org/10.1016/j.bar.2018.04.003en_US
dc.rights© 2019 Elsevier. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.en_US
dc.subjectInstitutional investorsen_US
dc.subjectInstitutional preferencesen_US
dc.subjectDistressen_US
dc.subjectChinese stock marketsen_US
dc.titleInstitutional preferences, demand shocks and the distress anomalyen_US
dc.status.refereedYesen_US
dc.date.Accepted2018-04-25
dc.date.application2018-05-01
dc.typeArticleen_US
dc.type.versionAccepted Manuscripten_US
refterms.dateFOA2020-05-02T00:00:00Z


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