当前位置: X-MOL 学术Journal of Financial Markets › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Institutional investor heterogeneity and market price dynamics: Evidence from investment horizon and portfolio concentration
Journal of Financial Markets ( IF 3.095 ) Pub Date : 2020-10-16 , DOI: 10.1016/j.finmar.2020.100604
Donghan Kim , Hyun-Dong Kim , Denis Yongmin Joe , Ji Yeol Jimmy Oh

Institutions exhibit substantial heterogeneity in trading behavior. Although many studies consider their investment horizon or portfolio concentration in isolation, we propose a two-way investor classification that jointly accounts for both characteristics. Our conceptual framework provides an intuitive account of each institutional investor group’s trading and the ensuing impact on market price dynamics, offering fresh insights into seemingly mixed findings in the literature. Our results indicate that a short investment horizon and a high portfolio concentration are both proxies for an informational advantage. We also reveal substantial heterogeneity in the behavior of concentrated versus diversified institutions with similar investment horizons.



中文翻译:

机构投资者异质性和市场价格动态:来自投资期限和投资组合集中度的证据

机构在交易行为上表现出很大的异质性。尽管许多研究孤立地考虑了他们的投资期限或投资组合集中度,但我们提出了一种双向投资者分类,共同考虑了这两个特征。我们的概念框架为每个机构投资者群体的交易以及随之而来的对市场价格动态的影响提供了一个直观的说明,为文献中看似混合的发现提供了新的见解。我们的结果表明,较短的投资期限和较高的投资组合集中度都是信息优势的代表。我们还揭示了具有相似投资期限的集中机构与多元化机构的行为存在显着异质性。

更新日期:2020-10-16
down
wechat
bug