文章基本信息

标题：DO INVESTOR CLIENTELES HAVE A DIFFERENTIAL IMPACT ON PRICE AND VOLATILITY? THE CASE OF BERKSHIRE HATHAWAY
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作者：He, Ling T. ; Casey, K. Michael
期刊名称：Journal of International & Interdisciplinary Business Research
印刷版ISSN：2332-3426
电子版ISSN：2332-3434
出版年度：2015
卷号：2
期号：1
页码：30-39
出版社：Fort Hays State University
摘要：The purpose of this research is to determine whether investor clienteles react in a different manner to the same information. Applying a technique developed by He (2012) to a firm like Berkshire Hathaway with two different classes of common stock allows us to test whether investor clienteles react in differential ways to the same information while holding other factors constant. Using a method developed by He (2012) we create an investor sentiment index (SE) to forecast prices of Berkshire Hathaway class A and class B shares. We find evidence that reactions of class A shareholders to news are more volatile, compared with class B. There is no evidence that volatility of SE can significantly affect the accuracy of forecasting. However, results of this study suggest that a more volatile SE index may lead to more unsteady outcomes in some rolling forecasts. The volatility differences in SE index and rolling forecasts stem from differential investor clienteles and their reactions the same news.
关键词：dual class shares; Investor Sentiment Endurance Index; forecasting; accuracy ratio