Essays On The Investment Behavior Of Institutional Investors
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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.
The Behavior Of Institutional Investors
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Author : Alexander Pütz
language : en
Publisher:
Release Date : 2012
The Behavior Of Institutional Investors written by Alexander Pütz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Index mutual funds categories.
Institutional investors such as mutual funds and hedge funds play an important role in today's financial markets. This thesis consists of three essays which empirically study the behavior of active fund managers. In particular, the first essay investigates whether managers behave rationally or if some of them unconsciously make wrong investment decisions due to behavioral biases. The second essay examines whether some managers intentionally act to solely advance their own interests by strategically valuing the security positions in their portfolio. The third essay analyzes what the managers' education reveals about their investment behavior.
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 Collective Investor S Behavior
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Author : Konstantinos Gavriilidis
language : en
Publisher:
Release Date : 2013
Essays On Collective Investor S Behavior written by Konstantinos Gavriilidis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Investments categories.
Essays On Trading Behavior Of Professional Investors
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Author : Fang Cai
language : en
Publisher:
Release Date : 2002
Essays On Trading Behavior Of Professional Investors written by Fang Cai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Capitalists and financiers categories.
Essays On The Investment Decisions Of Individual And Institutional Investors
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Author : Russell Jame
language : en
Publisher:
Release Date : 2010
Essays On The Investment Decisions Of Individual And Institutional Investors written by Russell Jame and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with 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.
Three Essays On Institutional Investors And Corporate Governance
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Author : Rasha Ashraf
language : en
Publisher:
Release Date : 2007
Three Essays On Institutional Investors And Corporate Governance written by Rasha Ashraf and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Antitakeover strategies categories.
The first essay analyzes mutual funds' proxy voting records on shareholder proposals. The results indicate that mutual funds support shareholder proposals and vote against management for proposals that are likely to increase shareholders' wealth and rights, in firms with weaker external monitoring mechanisms, in firms with entrenched management, and when funds have longer investment horizon. Mutual funds mostly take management sides on executive compensation related proposals, when they have higher ownership concentration, and when they belong to bigger fund families. The results further indicate that there is a positive reputational effect for the funds undertaking a monitoring role. Moreover, mutual funds reduce holdings when they disapprove of managements' policy, but before doing so they take on an activist role by supporting shareholder proposals. The second essay investigates institutional investors' trading behavior of acquiring firm stocks surrounding merger activities. We label investment companies and independent investment advisors as active institutions and banks, nonbank trusts and insurance companies as passive institutions. We find active institutions increase holdings of acquiring firm stocks for mergers with higher wealth implications. However, active institutions overreact to stock mergers at the announcement, which they appear to correct at the resolution quarter of the merger. The trading behavior of passive institutions suggests that these institutions disregard the market response of merger announcement in trading acquiring firm stocks at the announcement quarter. The passive institutions gradually update their beliefs and trade on the basis of merger wealth effect at the resolution quarter. The third essay examines relation between executive compensation structure with the existing level and changes of takeover defense mechanisms of firms. According to "managerial entrenchment hypothesis," higher managerial power from adoption of takeover defense mechanisms would lead to generating higher rents for executives. "Efficient contracting hypothesis" argue that higher anti-takeover provisions would contribute in achieving efficient contracting by deferring compensation into the future due to the low possibility of hostile takeover. The results support managerial entrenchment hypothesis with regard to existing level of takeover defense mechanisms. With regard to changes in anti-takeover provisions, the existing level of managerial power influence the future pay structure.
Essays On International Asset Management
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Author : Marina Nikiforow
language : en
Publisher: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
Release Date : 2011
Essays On International Asset Management written by Marina Nikiforow and has been published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Investment advisors categories.
Asset management is a global business, spreading from developed financial centers to emerging and transition markets. Empirical analyses of professional investors' investment processes are justified not only by their key role in the traditional finance theory, as rational agents contributing to market efficiency, but also by the behavioral finance, finding evidence on irrational biases in their investment behavior. This study provides survey evidence on views and investment behavior of 772 fund managers from 274 investment companies in the USA, Germany, Thailand, Russia and Ukraine. New insights are gained on the persistency of behavioral biases. Cross-country comparisons shed light on fund managers' information processing and investment behavior in different institutional market settings.
Essays On Institutional Investors In The Bond Market
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Author : Yifan Yu
language : en
Publisher:
Release Date : 2021
Essays On Institutional Investors In The Bond Market written by Yifan Yu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
This thesis consists of three chapters on institutional investors in bond market. Chapter 1 examines duration hedging behavior in corporate bond market by studying investment decisions of life insurance companies, the largest institutional investors in this market. I find that life insurers are tilting their corporate bond portfolios towards bonds with higher duration as interest rates decrease to historical lows since the 2008 financial crisis. This hunt-for-duration behavior is due to life insurers' interest rate risk hedging to ensure better duration matching between their assets and liabilities. I further show that hunt-for-duration by life insurers can drive overpricing of corporate bonds when negative monetary policy surprises hit. Chapter 2 investigates how the risk-based capital (RBC) reform in insurance industry initiated in year 1993 affects life insurers' investment behavior in corporate bonds, and how RBC-induced distortion in insurers' investment practices could have an impact on credit allocation, and ultimately real investment in the economy. Following the reform, I observe that insurers tilt their portfolios towards the lowest rated corporate bonds within a bond risk category defined by the RBC rule. Through shifting insurers' bond demand, I find that the RBC reform changes the credit supply conditions to a particular group of firms: those that have credit ratings barely fitting into a low-risk category and belong to industries where insurers hold more corporate bonds before the reform. Furthermore, I find that these firms take advantage of the more favorable credit allocation conditions to increase investment and employment after the reform. These results highlight a channel through which regulatory reform in insurance industry can bear real consequences.Chapter 3 studies whether life insurers rebalance their bond portfolios during Quantitative Easing (QE) programs initiated by the Federal Reserve (Fed) since the 2008 financial crisis. I find that life insurers sell QE securities and replace them with corporate bonds over certain QE periods. Moreover, life insurers rebalance toward corporate bonds in the lowest rating tier within a risk category defined by the RBC rule under which insurers are regulated. Overall, these findings show that QE's portfolio rebalancing channel can work through the life insurance sector.