Séminaires de recherche

The Granular Nature of Large Institutional Investors

Finance

Intervenant : Itzhak Ben David
Fisher

1 octobre 2015


Over the last 35 years, the concentration of institutional assets in equity markets has increased dramatically. The stock ownership by the largest ten asset managers now accounts for 23.1% of total stock market capitalization, having quadrupled over this period. The paper asks whether idiosyncratic shocks to these institutions can spill over to their underlying holdings through their trading activity. The conjecture is that large institutions are granular, that is, they cannot be reduced to a diversified collection of smaller entities. We provide evidence of a causal effect of ownership by large institutions on the volatility of their stock holdings. Moreover, the stocks owned by large institutions exhibit stronger price inefficiency. Finally, we show that these effects are significantly related to institutional shocks, as measured by changes in CDS spreads, and that they are channeled by high investor flows and consequently high trading activity.

Finance

Intervenant : Matthieu Bouvard
Desautels Faculty of Management

14 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Mikhail Simutin
Rotman School of Management

7 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Liyan Yang
Rotman School of Management

31 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Anton Lines
Columbia Business School

24 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Ian Martin
LSE

17 mai 2018 - De 14h00 à 15h15



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