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Essays On Institutional Investors Behaviour And Performance

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Essays On Institutional Investors Behaviour And Performance

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Author : Jiaguo Wang
language : en
Publisher:
Release Date : 2013

Essays On Institutional Investors Behaviour And Performance written by Jiaguo Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Mutual funds categories.

Essays In Institutional Investor Behavior

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Author : Viktoriya Lantushenko
language : en
Publisher:
Release Date : 2016

Essays In Institutional Investor Behavior written by Viktoriya Lantushenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Finance categories.

This dissertation consists of one chapter studying mutual fund active management and two chapters examining institutional trading in various settings. The three essays in my dissertation explore institutional investor behavior. My first paper titled "Innovation in mutual fund portfolios: Implications for fund alpha" introduces a new measure of portfolio holdings that has power to explain future fund abnormal returns. This measure is defined as "return on portfolio innovation." It is constructed as the return on completely new portfolio positions that a fund has not held before. I evaluate the return on newly added positions because their performance can signal the quality of managerial effort. On average, a one-standard deviation increase in the return on innovation increases the Carhart (1997) four-factor fund alpha by approximately 0.34 to 0.52 percent per year. The results have important implications for fund performance and manager behavior. The second essay titled "Institutional property-type herding in real estate investment trusts," with Edward Nelling, explores whether institutional investors exhibit herding behavior by property type in real estate investment trusts (REITs). Our analysis of changes in institutional portfolio holdings suggests strong evidence of this behavior. We analyze the autocorrelation in aggregate institutional demand, and find that most of it is driven by institutional investor following the trades of others. Although momentum trading explains a small amount of this herding, institutional property type demand is more strongly associated with lagged institutional demand than lagged returns. The results suggest that correlated information signals drive herding in REITs. In addition, we examine the extent to which herding in REIT property types affects price performance in the private real estate market. We find that information transmission resulting from institutional herding in REITs occurs faster in public real estate markets than in private markets. The final essay titled "Investing in innovation: Evidence from institutional trading around patent publications," with Edward Nelling, examines institutional trading activity around patent publication dates. Unlike previous studies that use the future citations count to proxy for patent value, we measure the value of innovation by the three-day cumulative abnormal returns (CARs) around announcements. We find an increase in institutional demand for a firm's shares around patent announcements, and this increase is correlated with announcement returns. In addition, the increase in demand is greater when the firm's shareholder base consists of a higher percentage of long-term institutions. We find no correlation between patent announcement returns and the future number of citations. Patent announcements are also associated with increases in liquidity and analyst coverage, indicating that innovation may reduce information uncertainty between a firm and its investors. In addition, firms that announce patents outperform those in a control sample over a long-run. Overall, our results suggest that both investors and firms benefit from innovation.

Essays On The Investment Behavior Of Institutional Investors

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Author : Russell Richard Wermers
language : en
Publisher:
Release Date : 1995

Essays On The Investment Behavior Of Institutional Investors written by Russell Richard Wermers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Institutional investments categories.

Essays Concerning The Network Structure Of Mutual Fund Holdings And The Behavior Of Institutional Investors

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Author : Philip Stephen Wool
language : en
Publisher:
Release Date : 2013

Essays Concerning The Network Structure Of Mutual Fund Holdings And The Behavior Of Institutional Investors written by Philip Stephen Wool and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

In the first chapter of this dissertation, I describe a method for representing institutional investors' portfolio holdings as a graph, in which funds connect to stocks through patterns of common ownership. I then demonstrate that changes to a firm's position within this network are closely related to future stock market performance. Specifically, stocks moving toward the center of the holdings network outperform those drifting toward the periphery by approximately 4.1%, annually, adjusting for standard risk factors, consistent with a model in which short-sale constraints combined with increasing dispersion in investor's beliefs signal potential overvaluation. After controlling for a number of additional variables, including the "breadth of ownership" measure proposed by Chen, Hong, and Stein (2002)--a local indicator of a firm's network importance--stocks with the largest decrease in holdings network centrality still underperform by 2.2% per year. In the second chapter, using a novel data set consisting of Schedule 13D filings and amendments over a seven-year period, from 2003 to 2010, I present evidence that managers of large investment portfolios exploit periods of perceived investor distraction to minimize the adverse impact of the disclosure of large sales on future transactions. Specifically, managers reporting substantial decreases in holdings favor Friday disclosure over disclosure on other weekdays, and prefer to release the news in the hours after markets close. Moreover, investors who go on to make future sales are significantly more likely to pursue an opportunistic filing strategy. Employing event study methodology, I test for underreaction to Friday filings, but find no support for investor inattention to Friday 13D disclosures. Investors seem to rapidly incorporate available information from regulatory disclosures into stock prices, correctly attributing heavy selling to liquidations and not informed trading.

Essays On Trading Behavior Of Institutional Investors

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Author : Selim Topaloglu
language : en
Publisher:
Release Date : 2002

Essays On Trading Behavior Of Institutional Investors written by Selim Topaloglu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Institutional investments categories.