Institutional Investors Heterogeneous Benchmarks And The Comovement Of Asset Prices PDF Download
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| Author | : Andrea M. Buffa |
| Publisher | : |
| Total Pages | : 65 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices Book in PDF, ePub and Kindle
We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy, induce price pressure that can result in negative spillovers across asset returns. We highlight the economic significance of these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and characterize a rich structure of asset price comovements within and across benchmarks. Heterogeneous benchmarking also induces return predictability, generating both reversal and momentum.
| Author | : Ms.Elaine Karen Buckberg |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 1996 |
| Genre | : Business & Economics |
| ISBN | : |
Download Institutional Investors and Asset Pricing in Emerging Markets Book in PDF, ePub and Kindle
This paper presents a new theory of asset pricing intended to address why other developing country equity markets responded so strongly to the Mexican devaluation, while the world’s major stock markets were unmoved. This phenomenon can be explained if investors follow a two-step portfolio allocation process, first determining what share of their portfolio to invest in developing countries, then allocating those funds across the emerging markets. For 12 of 13 markets studied, the one-factor CAPM is rejected in favor of a two-factor asset pricing model, including both a broad emerging markets portfolio and the global market portfolio.
| Author | : Suleyman Basak |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2012 |
| Genre | : Institutional investors |
| ISBN | : |
Download Asset Prices and Institutional Investors Book in PDF, ePub and Kindle
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. Institutions care about their performance relative to a certain index. Our framework is tractable, admitting exact closed-form expressions, and produces the following analytical results. We find that institutions optimally tilt their portfolios towards stocks that comprise their benchmark index. The resulting price pressure boosts index stocks, while leaving nonindex stocks unaffected. By demanding a higher fraction of risky stocks than retail investors, institutions amplify the index stock volatilities and aggregate stock market volatility, and give rise to countercyclical Sharpe ratios. Trades by institutions induce excess correlations among stocks that belong to their benchmark index, generating an asset-class effect.
| Author | : Matthijs Breugem |
| Publisher | : |
| Total Pages | : 47 |
| Release | : 2017 |
| Genre | : Asset allocation |
| ISBN | : |
Download Institutional Investors and Information Acquisition Book in PDF, ePub and Kindle
We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his desire to acquire information. In equilibrium, an increase in the fraction of benchmarked institutional investors leads to a decline in price informativeness, which can cause a decline in the prices of all risky assets and the market portfolio. The decline in price informativeness also leads to a substantial increase in return volatilities and allows non-benchmarked investors to substantially outperformed benchmarked investors.
| Author | : David Blake |
| Publisher | : |
| Total Pages | : 60 |
| Release | : 2001 |
| Genre | : Asset allocation |
| ISBN | : |
Download Performance Benchmarks for Institutional Investors Book in PDF, ePub and Kindle
| Author | : Elaine Buckberg |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 1996 |
| Genre | : |
| ISBN | : |
Download Institutional Investors and Asset Pricing in Emerging Markets Book in PDF, ePub and Kindle
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Financial Intermediation, Heterogeneous Investors, and Asset Pricing Book in PDF, ePub and Kindle
I found that investors prefer to learn what others do not learn, and this explains why there is specialization in the investment. Investors tend to be fundamentalists when market is uncertain, but learning also depends on capacity, ratio of sophisticated investors, risk aversion, etc. I analyze the trade-off between these information sources, and the implications for price efficiency, risk, and return, in a general equilibrium.
| Author | : Patrick Konermann |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Asset Pricing Book in PDF, ePub and Kindle
| Author | : Nicolae Garleanu |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download Heterogeneity and Asset Prices Book in PDF, ePub and Kindle
We develop a tractable asset-pricing framework characterized by imperfect risk sharing among cohorts, who experience different levels of integrated life-time endowments. While all asset-pricing implications stem from the heterogeneity of consumption among investors, cross-sectional measures of inequality are non-volatile, only weakly related to asset prices, and far more persistent than the price-to-dividend ratio. We show how to identify a marginal agent's consumption growth in this framework by utilizing cross-sectional information. Our proposed notion of marginal-agent consumption growth exhibits different and more volatile low-frequency variation than the aggregate consumption growth per capita, which is normally used in representative agent models. These low frequency movements in our measure of marginal agent consumption growth can explain a large portion of the low frequency movements in real interest rates and, when combined with recursive preferences, can account quantitatively for the stylized asset-pricing facts (high market price of risk, equity premium, volatility, and return predictability).
| Author | : Christo A. Pirinsky |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download Institutional Investors and the Comovement of Equity Prices Book in PDF, ePub and Kindle
We find that institutional investors contribute significantly to both long-term levels and short-term changes of stock price comovement with the market. This result is only partly explained by institutional investors incorporating more systematic information into security prices than individual investors. Next, we show that institutions increase the systematic movement of a stock by increasing its comovement with other stocks of high-institutional ownership, while decreasing its comovement with stocks of low-institutional ownership. The degree of stock price comovement is also increasing in the magnitude of institutional trading and appears related to particular institutional trading activities, such as style investing. Our findings have implications for current theories on comovement and financial contagion.
