| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 104 === This research focuses on two objectives. First, whether institutional investors
will use prior stock and market returns as references making feedback-trading, and if
institutional trading are useful for predicting subsequent stock return. Second, testing
whether ambiguity would affect the stock return predictability and institutional
trading.
We obtain three main results. First, institutional investors use prior market and
stock return as references making feedback-trading. Furthermore, their trading can
predict subsequent stock returns. Third, when ambiguity is greater, they are less likely
using market and stock returns as references making feedback-trading and the
prediction ability increases with market ambiguity except dealing. Finally, we extend
research days from one day to one week, then we find that no matter which kind of
institutional investors, ambiguity’s impact on feedback-trading will decrease as the
extending on research days. Ambiguity indeed will reduce serial net-buying and
net-selling’s informational effect. In general, ambiguity actually has obvious impact
on institutional trading, stock return and market return.
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