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 کاملThe Rodney L. White Center for Financial Research Institutional Investors and Equity Prices
The Rodney L. White Center for Financial Research is one of the oldest financial research centers in the country. It was founded in 1969 through a grant from Oppenheimer & Company in honor of its late partner, Rodney L. White. The Center receives support from its endowment and from annual contributions from its Members. The Center sponsors a wide range of financial research. It publishes a work...
متن کاملThe Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium
Using comprehensive company-level ownership data from Japan, the authors found that the equity size premium correlates strongly with the investment flows of international institutional investors. When investment flows intensified and shifted into larger stocks in the mid-1990s, the equity size premium was reversed. Their findings suggest that a large fraction of the time variation in the size p...
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 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 ...
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ژورنال
عنوان ژورنال: The Quarterly Journal of Economics
سال: 2001
ISSN: 0033-5533,1531-4650
DOI: 10.1162/003355301556392