Institutional Investors And The Comovement Of Equity Prices PDF Download
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| 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.
| Author | : Yishay Yafeh |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2011-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1455218952 |
Download Additions to Market Indices and the Comovement of Stock Returns Around the World Book in PDF, ePub and Kindle
Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock turnover and analyst coverage also typically increase upon inclusion. Using various tests, we find the demand-based view of comovement (the category/habitat theories of Barberis, Shleifer and Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that information-related factors are also important in explaining the increased comovement.
| 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 | : Paul A. Gompers |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 1998 |
| Genre | : Institutional investments |
| ISBN | : |
Download Institutional Investors and Equity Prices Book in PDF, ePub and Kindle
We analyze institutional investors' preferences for stocks and the implications that these preferences have for stock-market prices and returns. We find that -- a category including all managers with greater than $100 million under discretionary control -- have nearly doubled their share of the common-stock market from 1980 to 1996 most of this increase driven by the growth in holdings of the largest one-hundred institutions. Large institutions, when compared with other investors, prefer stocks that have greater market capitalizations, are more liquid, and have higher book-to-market ratios and lower returns for the previous year. We discuss how institutional preferences, when combined with the rising share of the market held by institutions, induce changes in the relative prices and returns of large stocks and small stocks. We provide evidence to support the in-sample implications for prices and realized returns and we derive out-of-sample predictions for expected returns
| Author | : Josef Lakonishok |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 1991 |
| Genre | : Capitalists and financiers |
| ISBN | : |
Download Do Institutional Investors Destabilize Stock Prices? Book in PDF, ePub and Kindle
Includes bibliographical references (p. 24)
| 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 | : José Afonso Faias |
| Publisher | : |
| Total Pages | : 54 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Does Institutional Ownership Matter for International Stock Return Comovement? Book in PDF, ePub and Kindle
We study the link between international stock return comovements and institutional investment. We test the hypothesis that the rise of institutional investors as shareholders of corporations worldwide has increased cross-country correlations and decreased cross-industry correlations. Using stock-level institutional holdings across 45 countries during the period 2001-2010, we find that industry and global factors are relatively more important than country factors in explaining stock return variation among stocks with higher institutional ownership. Industry diversification strategies offer more benefits than country diversification benefits for stocks with high institutional ownership. Our findings show that cross-border portfolio investment is a powerful force of international capital markets integration and convergence of asset prices across countries.
| Author | : John P. Hamer |
| Publisher | : |
| Total Pages | : 90 |
| Release | : 1966 |
| Genre | : |
| ISBN | : |
Download The Effects of the Institutional Investors on Common Stock Prices Book in PDF, ePub and Kindle
| Author | : Paul A. Gompers |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Institutional Investors and Equity Prices Book in PDF, ePub and Kindle
This paper analyzes institutional investors' demand for stock characteristics and the implications of this demand for stock prices and returns. We find that quot;largequot; institutional investors nearly doubled their share of the stock market from 1980 to 1996. Overall, this compositional shift tends to increase demand for the stock of large companies and decrease demand for the stock of small companies. The compositional shift can, by itself, account for a nearly 50 percent increase in the price of large-company stock relative to small-company stock and can explain part of the disappearance of the historical small-company stock premium.
| Author | : Jeffrey A. Frankel |
| Publisher | : University of Chicago Press |
| Total Pages | : 428 |
| Release | : 2008-04-15 |
| Genre | : Business & Economics |
| ISBN | : 0226260216 |
Download The Internationalization of Equity Markets Book in PDF, ePub and Kindle
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
