Author: Ankur Pareek
Publisher:
ISBN:
Category :
Languages : en
Pages : 274

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Book Description

Author: Russell Richard Wermers
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 420

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Book Description

Author: Viktoriya Lantushenko
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 226

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Book Description
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.

Author: Sahn-Wook Huh
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 436

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Book Description

Author: Fang Cai
Publisher:
ISBN:
Category : Capitalists and financiers
Languages : en
Pages : 226

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Book Description

Author: Selim Topaloglu
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 214

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Book Description

Author: Elroy Dimson
Publisher: CUP Archive
ISBN: 9780521341042
Category : Business & Economics
Languages : en
Pages : 328

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Book Description

Author: Jian Huang
Publisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 89

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Book Description

Author: Vijay Singal
Publisher: Financial Management Association Survey and Synthesis Series
ISBN: 0195304225
Category : Business & Economics
Languages : en
Pages : 369

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Book Description
In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Singal points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. Here he discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit.

Author: Martin T. Bohl
Publisher:
ISBN: 9789524629959
Category :
Languages : en
Pages : 37

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Book Description