Essays On Trading Behavior Of Institutional Investors
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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.
Essays On The Trading Behavior Of Institutional Investors And Stock Return Anomalies
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Author : Ankur Pareek
language : en
Publisher:
Release Date : 2009
Essays On The Trading Behavior Of Institutional Investors And Stock Return Anomalies written by Ankur Pareek and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with 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 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 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 Financial Markets And Trading Behavior
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Author : Sahn-Wook Huh
language : en
Publisher:
Release Date : 2004
Essays On Financial Markets And Trading Behavior written by Sahn-Wook Huh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Stock exchanges categories.
Two Essays On The Trading Behavior Of Institutional Investors The Cases In The Open Ending Closed End Funds In Taiwan In The Changes Of Stocks In Msci Taiwan Index
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Author :
language : en
Publisher:
Release Date :
Two Essays On The Trading Behavior Of Institutional Investors The Cases In The Open Ending Closed End Funds In Taiwan In The Changes Of Stocks In Msci Taiwan Index written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
This dissertation studies the reaction of trading behavior of investors, especially institutional investors, to the public information in Taiwan. Two kinds of public information are chosen in this dissertation. One is open-ending closed-end funds under the regulation set up by Taiwan authority. The other is the change of stocks in MSCI Taiwan Index that is decided by Morgan Stanley Capital International (MSCI), a well-known foreign institution in constructing various indices. Consistent with earlier studies using U.S. data, our results show that open-ending is a wealth-enhancing event for shareholders. We also provide evidence of the existence of noise traders in the closed-end fund market. The evidence is derived from the trading behavior of domestic institutional investors and small individual investors, who ignore price discounts when open-ending is imminent. The trading by noise traders impedes price adjustments to the discounts, and provides profit opportunities to arbitragers. Furthermore, we show that foreign investors gain considerable wealth, largely at the expense of domestic institutional investors and small individual investors, in the open-ending process. On average, their gains account for 30% of the total gains associated with open-ending, or NT$562 millions per case. On the issue of the change of stocks in MSCI Taiwan Index, we find that MSCI prefers to select the securities with good performance, high liquidity, and large firm size into MSCI Taiwan Index while tends to drop the securities with poor performance, lower liquidity, and small firm size from MSCI Taiwan Index. Besides, consistent with the previous studies, prices increase (decrease) significantly for stocks added to (deleted from) the MSCI Taiwan Index after the announcement date. As well as the deletions, the price decreases for unchanging stocks after the announcement date. However, there is no evidence to find that foreign investors have information advantage in MSCI news over domestic.
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.
Two Essays On Institutional Investors
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Author : Jian Huang
language : en
Publisher:
Release Date : 2010
Two Essays On Institutional Investors written by Jian Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Financial institutions categories.
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.