| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9120
|
| DP9120 Asset Prices and Institutional Investors |
| Suleyman Basak; Anna Pavlova
|
| 发表日期 | 2012-09-02
|
| 出版年 | 2012
|
| 语种 | 英语
|
| 摘要 | Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this paper, we consider an economy populated by institutional investors alongside standard retail investors. Institutions care about their performance relative to a certain index. Our framework is tractable, admitting exact closed-form expressions, and produces the following analytical results. We find that institutions optimally tilt their portfolios towards stocks that comprise their benchmark index. The resulting price pressure boosts index stocks, while leaving nonindex stocks unaffected. By demanding a higher fraction of risky stocks than retail investors, institutions amplify the index stock volatilities and aggregate stock market volatility, and give rise to countercyclical Sharpe ratios. Trades by institutions induce excess correlations among stocks that belong to their benchmark index, generating an asset-class effect. |
| 主题 | Financial Economics
|
| 关键词 | Asset class
Asset pricing
General equilibrium
Indexing
Institutions
Money management
|
| URL | https://cepr.org/publications/dp9120
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537953
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推荐引用方式
GB/T 7714 |
Suleyman Basak,Anna Pavlova. DP9120 Asset Prices and Institutional Investors. 2012.
|
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