~ S ocially responsible investing (SRI) is moving into the mainstream of institutional investment management, but not uniformly and not without doubt. A 2004 Mercer survey reveals that 89% of investment managers in Asia and 69% of investment managers in Europe believe that SRI would be in the investment mainstream in the coming ten years, but only 36% of investment managers in the U.S. share th...

This study tests the Miller (1977) hypothesis as an explanation for stock price behavior around technology firms’ earnings announcements during the late 1990s. Specifically, we examine whether the anomalous tendency for stock prices to increase (decrease) before (after) earnings announcements during this period is associated with an increase (decrease) in investor disagreement before (after) th...

a r t i c l e i n f o Keywords: Trading volume Buy–sell imbalance Financial crisis We confirm that investors in different categories have different trading patterns caused by attention-grabbing factors. Stocks with extreme one-day returns catch the attention of both individual and institutional investors. Individual investors are net buyers of losers whereas institutional investors are net buye...

This paper studies herding behavior of institutional investors in international markets. First, we document the existence of wide-spread herding in 41 countries (referred to as ‘‘target countries’’ hereafter) in the sample. We then examine the relation between contemporaneous institutional demand and future returns and find that institutional herding stabilizes prices. Next, we examine the rela...

SUMMER 2004 O ver the past 30 to 40 years, a generally accepted approach has evolved for the management of institutional investment funds. Today we see an effort to adapt this approach to managing the funds of individual investors. The impetus behind this initiative is surely a laudable one—to improve the investment experience and outcomes of individuals by adapting the best practices validated...

The accrual anomaly is a phenomenon that investors gain future abnormal returns through accruals-based hedge portfolios. This paper first shows that China's institutional investors have a better understanding of the persistence of accounting accruals and they more accurately assess stock prices, and that an accrual-based hedge portfolio yields smaller future abnormal returns for firms with high...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of distressed investors selling both assets during the 2007-2009 financial crisis. We show that financial di...

Using a unique daily database, we investigate the short-run dynamic relation between institutional trades and stock price volatility in an individual investor dominated emerging market. We document a significant negative volatility-institutional trading relation in the emerging Chinese market. This negative relation is more pronounced for unexpected institutional imbalance and buy. Institutiona...

Underpricing in IPOs, which is the first day stock price return, is a significant cost to the issuers of raising capital. The money left on the table also attracts attention from different financial players such as institutional investors and big underwriters for its profits and commissions. This paper reviews two hypotheses for IPO underpricing, the general information asymmetry theory that ‘u...