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Institutional Investors and Equity Returns: Are Short-Term Institutions Better Informed?
16 references·7 citing·30 second hop
Institutional Investors and Equity Returns: Are Short-Term Institutions Better Informed? (2006)Institutional Investors and Equity Return…Shareholder investment horizons and the market for corporate control (2004)Shareholder investment horizo…Do Institutional Investors Prefer Near‐Term Earnings over Long‐Run Value?* (2001)Do Institutional Investors Pr…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Mutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…Herding and Feedback Trading by Institutional and Individual Investors (1999)Herding and Feedback Trading …Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Volume, Volatility, Price, an…Institutional Investors and Equity Prices (1998)Institutional Investors and E…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The impact of institutional trading on stock prices (1992)The impact of institutional t…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Do institutional investors have homogeneous influence on corporate social responsibility? Evidence from investor investment horizon (2019)Do institutional investors ha…Measuring Tax-Sensitive Institutional Investor Ownership (2017)Measuring Tax-Sensitive Insti…Adapting to Radical Change: The Benefits of Short-Horizon Investors (2017)Adapting to Radical Change: T…Evidence from impending bankrupt firms that long horizon institutional investors are informed about future firm value (2014)Evidence from impending bankr…Investor Horizons and Corporate Cash Holdings (2012)Investor Horizons and Corpora…Shareholder Investment Horizons and Tax Aggressiveness (2009)Shareholder Investment Horizo…Institutional Ownership and Tax Aggressiveness (2009)Institutional Ownership and T…Essays in Positive Economics (1954)Does the Stock Market Overreact? (1985)A Simple Model of Herd Behavior (1992)Risk Taking by Mutual Funds as a Response to Incentives (1997)Investor Psychology and Asset Pricing (2001)The Geography of Investment: Informed Trading and Asset Prices (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Do Investors Trade Too Much? (1999)Gender Differences in Preferences (2009)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 1998Volume, Volatility, Price, and Profit When All Traders Are Above Average1,980 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices1,730 cited
  • 1999Herding and Feedback Trading by Institutional and Individual Investors1,587 cited
  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 2001Do Institutional Investors Prefer Near‐Term Earnings over Long‐Run Value?*1,280 cited
  • 2004

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Shareholder investment horizons and the market for corporate control
1,271 cited
  • 1998Institutional Investors and Equity Prices1,263 cited
  • Cited by

    • 2009Institutional Ownership and Tax Aggressiveness66 cited
    • 2014Evidence from impending bankrupt firms that long horizon institutional investors are informed about future firm value45 cited
    • 2019Do institutional investors have homogeneous influence on corporate social responsibility? Evidence from investor investment horizon44 cited
    • 2017Measuring Tax-Sensitive Institutional Investor Ownership41 cited
    • 2012Investor Horizons and Corporate Cash Holdings29 cited
    • 2017Adapting to Radical Change: The Benefits of Short-Horizon Investors28 cited
    • 2009Shareholder Investment Horizons and Tax Aggressiveness26 cited