scholarly journals Short-Term Reversals: The Effects of Past Returns and Institutional Exits

2017 ◽  
Vol 52 (1) ◽  
pp. 143-173 ◽  
Author(s):  
Si Cheng ◽  
Allaudeen Hameed ◽  
Avanidhar Subrahmanyam ◽  
Sheridan Titman
Keyword(s):  
Institutional Investors ◽  
Short Term ◽  
Liquidity Provision ◽  
Monthly Return ◽  
Return Reversals

Price declines over the previous quarter lead to stronger reversals across the subsequent 2 months. We explain this finding based on the dual notions that liquidity provision can influence reversals and that agents who act as de facto liquidity providers may be less active in past losers. Supporting these observations, we find that active institutions participate less in losing stocks and that the magnitude of monthly return reversals fluctuates with changes in the number of active institutional investors. Thus, we argue that fluctuations in liquidity provision with past return performance account for the link between return reversals and past returns.

Strategic Distortions in Analyst Target Prices in the Presence of Short-Term Institutional Investors

2015 ◽  
Author(s):  
Pawel Bilinski ◽  
Douglas J. Cumming ◽  
Lars Helge Hass ◽  
Konstantinos Stathopoulos ◽  
Martin Walker
Keyword(s):  
Institutional Investors ◽  
Short Term

scholarly journals The Rise of Institutional Investors

2019 ◽  
Author(s):  
Jan Fichtner
Keyword(s):  
Mutual Funds ◽  
Hedge Funds ◽  
Institutional Investors ◽  
Private Equity ◽  
Short Term ◽  
Equity Funds ◽  
Private Equity Funds ◽  
Important Position ◽  
State Street ◽  
Asset Managers

During the last decades, institutional investors gained an ever more important position as managers of assets and owners of corporations. By demanding (short-term) shareholder value, some of them have driven the financialization of corporations and of the financial sector itself. This chapter first characterizes the specific roles that private equity funds, hedge funds, and mutual funds have played in this development. It then moves on to focus on one group of institutional investors that is rapidly becoming a pivotal factor for corporate control in many countries – the “Big Three” large passive asset managers BlackRock, Vanguard and State Street.

scholarly journals Institutional Shareholdings and Financial Characteristics of Malaysian Listed Companies

2020 ◽  
Author(s):  
Shamsul Naharabdullah ◽  
Mohd Azlan Yahya ◽  
Faisol Elham
Keyword(s):  
Institutional Investors ◽  
Listed Companies ◽  
Financial Ratios ◽  
Short Term ◽  
Growth Ratio ◽  
Primary Motivation ◽  
The Mean ◽  
Financial Characteristics ◽  
Institutional Shareholders

This study attempts to investigate the extent to which the financial characteristics of firms are related to institutional shareholdings. The primary motivation to carry out the study comes from an earlier paper by Hessel and Norman (1992), which showed that seven financial ratios discriminated between strongly-held and institutionally-neglected firms. As an extension of the study, the present study seeks to investigate the seven financial ratios among Malaysian companies by identifying differences in the means of the seven ratios between a group of companies with substantial institutional shareholdings against another group of companies with negligible institutional shareholdings. The findings, from a sample of KLSE listed companies, broadly support the findings by Hessel and Norman (1992), in which firms with significant institutional shareholdings exhibited a significantly higher profitability ratio against firms that were neglected by institutional investors.. This suggested that institutional investors placed greater emphasis on a firm's short-term results. Our evidence also did not indicate institutional shareholders' direct involvement in ensuring a firm's long-term growth and competitiveness, as shown by the insignificant differences in the mean of growth ratio between firms that had significant institutional shareholdings and those that were neglected by institutional investors.  

Are smart beta funds really smart? Evidence from rational and quasi-rational investor sentiment data

2019 ◽  
Vol 12 (2) ◽  
pp. 97-118
Author(s):  
Rahul Verma ◽  
Gökçe Soydemir ◽  
Tzu-Man Huang
Keyword(s):  
Institutional Investors ◽  
Institutional Investor ◽  
Individual Investors ◽  
Leading Indicators ◽  
Individual Investor ◽  
Short Term ◽  
Content Type ◽  
Economic Fundamentals ◽  
Investor Sentiments ◽  
Smart Beta

Purpose The purpose of this paper is to examine the relative effects of rational and quasi-rational sentiments of individual and institutional investors on a set of smart beta fund returns. The magnitudes of the impacts of institutional investor sentiments are greater than those of individual investor sentiments. In addition, both rational and quasi-rational sentiments of individual and institutional investors have significant impacts on smart beta fund returns. The magnitudes of the impacts of quasi-rational sentiments are greater than those of the rational sentiments for both types of investors (quasi-rational sentiments of institutional investors have the maximum impact). These results are consistent with the arguments that professional investors consider the sentiments of individual investors as contrarian leading indicators which are mainly driven by noise while conform the sentiments of institutional investors which are driven by more rational factors. A majority of smart beta funds in the sample outperform the S&P500 returns in the short term but fail to consistently beat the market. The authors find evidence that smart beta funds with consistently high returns are relatively less (more) driven by individual (institutional) investor sentiments. Overall, the authors argue that smart beta funds appear to follow quasi-rational sentiments of both individual and institutional investors that are not rooted in economic fundamentals. Design/methodology/approach The results of the impulse functions generated from a multivariate model suggest that the smart beta fund returns are negatively (positively) impacted by individual (institutional) investor sentiments. Findings The magnitudes of the impacts of institutional investor sentiments are greater than those of individual investor sentiments. In addition, both rational and quasi-rational sentiments of individual and institutional investors have significant impacts on smart beta fund returns. The magnitudes of the impacts of quasi-rational sentiments are greater than those of the rational sentiments for both types of investors (quasi-rational sentiments of institutional investors have the maximum impact). Originality/value These results are consistent with the arguments that professional investors consider the sentiments of individual investors as contrarian leading indicators which are mainly driven by noise while conform the sentiments of institutional investors which are driven by more rational factors. A majority of smart beta funds in the sample outperform the S&P500 returns in the short term but fail to consistently beat the market. The authors find evidence that smart beta funds with consistently high returns are relatively less (more) driven by individual (institutional) investor sentiments. Overall, the authors argue that smart beta funds appear to follow quasi-rational sentiments of both individual and institutional investors that are not rooted in economic fundamentals.

Investor attention and short-term return reversals

2019 ◽  
Vol 29 ◽  
pp. 1-6 ◽  
Author(s):  
Dries Heyman ◽  
Michiel Lescrauwaet ◽  
Hannes Stieperaere
Keyword(s):  
Short Term ◽  
Investor Attention ◽  
Return Reversals

scholarly journals Banking crises and the international monetary system in the Great Depression and now

2011 ◽  
Vol 18 (1) ◽  
pp. 1-20 ◽  
Author(s):  
Richhild Moessner ◽  
William A. Allen
Keyword(s):  
Great Depression ◽  
International Monetary System ◽  
Banking Crises ◽  
Flexible Exchange Rate ◽  
Short Term ◽  
Liquidity Provision ◽  
The Great Depression ◽  
Monetary System ◽  
Bank Deposits ◽  
Rate Environment

We identify similarities and differences in the scale and nature of the banking crises in 2008-9 and the Great Depression, and analyse differences in the policy response to the two crises in light of the prevailing international monetary systems. We find that the scale of the banking crisis, as measured by falls in international short-term indebtedness and total bank deposits, was smaller in 2008-9 than in 1931. However, central bank liquidity provision was larger in the flexible exchange rate environment of 2008-9 than in 1931, when it had been constrained in many countries by the gold standard.

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