Institutional investment, equity volume and volatility spillover: Causalities and asymmetries

Institutions, Volatility and Investment

Countries with strong executive constraints have lower growth volatility but similar average growth to those with weak constraints. This paper argues that this may explain a strong reduced-form correlation between executive constraints and in‡ows of foreign investment. It uses a a novel dataset of Dutch sectorlevel investments between 1983 and 2012 to explore this issue. It formulates an econom...

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Investment Taxes and Equity Returns

This paper investigates whether investors are compensated for the tax burden of equity securities. Effective tax rates on equity securities vary over time due to frequent tax reforms and cross-sectionally due to persistent differences in propensities to pay dividends. The paper finds an economically and statistically significant relationship between risk-adjusted stock returns and effective per...

Institutional Investors and Corporate Investment

This paper investigates whether institutional investors influence firms’ investment in real assets and reduce the managerial agency conflict in investment choices. Institutional investors’ holdings of U.S. firms have gone from 10% of shares outstanding in 1960, to well over 60% in 2005. Importantly, given their significant ownership stakes and investment horizons, we expect them to closely moni...

Growth Volatility and Equity Market Liberalization

If there are benefits to international risk sharing, consumption growth variability should decrease following the liberalization of the equity market. In addition, markets with open equity markets should display lower consumption growth variability than closed markets, everything else equal. However, the recent literature on financial liberalization suggests that volatile capital flows lead to ...