منابع مشابه
Asset Prices and Institutional Investors∗
Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this paper, we consider an economy populated by institutional investors alongside standard retail investors. In...
متن کاملInstitutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
We study the equilibrium implications of an economy in which asset managers are each subject to a different benchmark. We demonstrate how heterogeneous benchmarking endogenously generates a mechanism through which fundamental shocks propagate across assets. Heterogeneous benchmarking reduces short-run return correlation, and may even lead to negative asset comovement. An asset that is included ...
متن کاملThe Consumption of Active Investors and Asset Prices
Active investors in capital markets are wealthy and derive a large fraction of their income from the capital they own. I use flow of funds data to construct a consumption expenditure series for these active investors. The volatility of the aggregate consumption growth of active households is much higher than that of aggregate consumption. The resulting stochastic discount factor is tested on th...
متن کاملInstitutional Investors and Stock Prices: Destabilizing and Stabilizing Herds
From 1980 to 2005, institutional trading destabilizes stock prices. Specifically, stocks with herds of institutional buying in a given quarter suffer price declines of nearly three percent from four to eight quarters after the herding. Moreover, institutions do not suffer losses from the destabilization; they exit before prices reverse. These results extend the “riding the bubble” findings of B...
متن کاملDo Institutional Incentives Distort Asset Prices?
The incentive contracts of delegated investment managers may have unintended negative consequences for asset prices. I show that managers who are compensated for relative performance optimally shift their portfolio weights towards those of the benchmark when volatility rises, putting downward price pressure on overweight stocks and upward pressure on underweight stocks. In quarters when volatil...
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ژورنال
عنوان ژورنال: American Economic Review
سال: 2013
ISSN: 0002-8282
DOI: 10.1257/aer.103.5.1728