Essays On The Investment Behavior Of Institutional Investors
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Author | : Alexander Pütz |
Publisher | : |
Total Pages | : 0 |
Release | : 2012 |
Genre | : Index mutual funds |
ISBN | : 9783832531898 |
Download The Behavior of Institutional Investors Book in PDF, Epub and Kindle
Institutional investors such as mutual funds and hedge funds play an important role in today's financial markets. This thesis consists of three essays which empirically study the behavior of active fund managers. In particular, the first essay investigates whether managers behave rationally or if some of them unconsciously make wrong investment decisions due to behavioral biases. The second essay examines whether some managers intentionally act to solely advance their own interests by strategically valuing the security positions in their portfolio. The third essay analyzes what the managers' education reveals about their investment behavior.
Author | : Russell Richard Wermers |
Publisher | : |
Total Pages | : 420 |
Release | : 1995 |
Genre | : Institutional investments |
ISBN | : |
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Author | : Viktoriya Lantushenko |
Publisher | : |
Total Pages | : 226 |
Release | : 2016 |
Genre | : Finance |
ISBN | : |
Download Essays in Institutional Investor Behavior Book in PDF, Epub and Kindle
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 | : Konstantinos Gavriilidis |
Publisher | : |
Total Pages | : 278 |
Release | : 2013 |
Genre | : Investments |
ISBN | : |
Download Essays on Collective Investor's Behavior Book in PDF, Epub and Kindle
Author | : Russell Jame |
Publisher | : |
Total Pages | : 0 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Essays on the investment decisions of individual and institutional investors Book in PDF, Epub and Kindle
Author | : Jian Huang |
Publisher | : |
Total Pages | : 0 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Two essays on institutional investors Essay one Book in PDF, Epub and Kindle
Author | : Elias Rantapuska |
Publisher | : |
Total Pages | : 130 |
Release | : 2006 |
Genre | : |
ISBN | : 9789524880299 |
Download Essays on Investment Decisions of Individual and Institutional Investors Book in PDF, Epub and Kindle
Author | : Juhani Linnainmaa |
Publisher | : |
Total Pages | : 350 |
Release | : 2006 |
Genre | : Day trading (Securities) |
ISBN | : |
Download Essays on Learning and Investor Behavior Book in PDF, Epub and Kindle
Author | : Selim Topaloglu |
Publisher | : |
Total Pages | : 214 |
Release | : 2002 |
Genre | : Institutional investments |
ISBN | : |
Download Essays on Trading Behavior of Institutional Investors Book in PDF, Epub and Kindle
Author | : Jian Huang |
Publisher | : |
Total Pages | : 89 |
Release | : 2010 |
Genre | : Financial institutions |
ISBN | : |
Download Two Essays on Institutional Investors Book in PDF, Epub and Kindle