| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15654 |
| DP15654 Institutional Investors and Granularity in Equity Markets | |
| Eric Ghysels; Hanwei Liu; Steve Raymond | |
| 发表日期 | 2021-01-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | The U.S. equity markets are largely driven by actions of institutional investors. Using quarterly 13-F holdings, we construct the Herfindahl-Hirschman Index of institutional investor concentration as a measure of granularity. We study how granularity affects: the cross-section of returns, conditional variances and downside risk. Next, we study the impact of granularity in a demand-driven asset pricing model introduced by Koijen and Yogo (2019). We derive a decomposition of expected returns in terms of equally weighted asset demands and granularity residuals. Using this decomposition, we revisit the empirical stylized facts pertaining to granularity and asset pricing. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp15654-0 |
| 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/544666 |
| 推荐引用方式 GB/T 7714 | Eric Ghysels,Hanwei Liu,Steve Raymond. DP15654 Institutional Investors and Granularity in Equity Markets. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
