Journal ArticleDOI
Quarterly Trading Patterns of Financial Institutions
Jia He,Lilian K. Ng,Qinghai Wang +2 more
TLDR
This paper investigated whether different types of institutions have discernible trading motives in response to portfolio disclosures and found that banks, life insurance companies, mutual funds, and investment advisors who act as external managers generally have similar trading strategies.Abstract:
This paper investigates whether different types of institutions have discernible trading motives in response to portfolio disclosures Results show that banks, life insurance companies, mutual funds, and investment advisors who act as external managers generally have similar trading strategies They sell more poorly performing stocks during the fourth quarter than the first three quarters of the year, and such trading behavior is more pronounced for institutions whose stocks on average have underperformed the market In contrast, property and liability insurance companies, internally-managed pension funds, colleges, universities, and foundations, who mainly provide their own asset management services, show less inclination to window dress their portfoliosread more
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Journal ArticleDOI
Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data
TL;DR: In this article, the authors proposed a new approach to estimate the effective cost of trading and the common variation in this cost, which is then used in conventional asset pricing specifications with a view to ascertaining the role of trading costs as a characteristic in explaining stock returns.
Journal ArticleDOI
What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide
TL;DR: The authors examine how mutual funds allocate their investment between domestic and foreign equity markets and what factors determine their asset allocations worldwide, and find robust evidence that these funds, in aggregate, allocate a disproportionately larger fraction of investment to domestic stocks.
Journal ArticleDOI
Home Bias, Foreign Mutual Fund Holdings, and the Voluntary Adoption of International Accounting Standards
TL;DR: In this paper, the authors test the assertion that a consequence of voluntarily adopting International Accounting Standards (IAS) is the enhanced ability to attract foreign capital and find that average foreign mutual fund ownership is significantly higher among IAS adopters.
Journal ArticleDOI
Do Institutional Investors Exploit the Post-earnings Announcement Drift?
Bin Ke,Santhosh Ramalingegowda +1 more
TL;DR: In this article, transient institutional investors (i.e., those actively trading to maximize short term profits) trade to exploit the post-earnings announcement drift (PEAD) and accelerate the speed that stock prices reflect the implications of current earnings for future earnings.
Journal ArticleDOI
Which Institutional Investors Trade Based on Private Information About Earnings and Returns
TL;DR: In this article, the authors provide evidence on the prevalence and sources of informed trading by testing for the creation and liquidation of positions based on private information, introducing private information proxies that reflect the size and nature of an institution's position in each portfolio firm, and examining multiple investor characteristics simultaneously at the institution-firm level.
References
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ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
ReportDOI
Risk taking by mutual funds as a response to incentives
TL;DR: In this paper, the authors examine a potential agency conflict between mutual fund investors and mutual fund companies, where investors would like the fund company to use its judgment to maximize risk-adjusted fund retraction.
Posted Content
Risk Taking by Mutual Funds as a Response to Incentives
TL;DR: In this article, the authors examine the agency conflict between mutual fund investors and mutual fund companies, and show that a fund company in its desire to maximize its value as a concern has an incentive to take actions which increase the flow of investment.
ReportDOI
Institutional Investors and Equity Prices
Paul A. Gompers,Andrew Metrick +1 more
TL;DR: In this paper, the authors analyze institutional investors' preferences for stocks and the implications that these preferences have for stock-market prices and returns and find that 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.
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The Distorting Effect of the Prudent-Man Laws on Institutional Equity Investments
TL;DR: The authors examined the effect of prudent man laws on the behavior of institutional investors and found that bank managers significantly tilt the composition of their portfolios toward stocks that are viewed by the courts as prudent, while mutual fund managers do not.