G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9120
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
URLhttps://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
推荐引用方式
GB/T 7714
Suleyman Basak,Anna Pavlova. DP9120 Asset Prices and Institutional Investors. 2012.
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