The Granular Nature of Large Institutional Investors

Itzhak Ben-David, Francesco A. Franzoni, Rabih Moussawi and John Sedunov
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Francesco A. Franzoni: University of Lugano and Swiss Finance Institute
Rabih Moussawi: University of PA

Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics

Abstract: Over last 35 years institutional ownership became concentrated at unprecedented levels; e.g., the stock holdings by the largest ten asset management firms quadrupled from 5.6% to 23.1%. Due to their sheer size, institution-level shocks cannot be diversified away and can spill over to the underlying securities. We document that stock ownership by the largest institutional investors leads to an increase in the volatility of the assets that they hold. Furthermore, stocks held by the largest institutional investors exhibit patterns of price inefficiency. We show that these effects are triggered by institution-level idiosyncratic news and channeled through large trades.

JEL-codes: G01 G12 G23 (search for similar items in EconPapers)
Date: 2015-06
New Economics Papers: this item is included in nep-ger
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Citations: View citations in EconPapers (6)

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http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2620271

Related works:
Journal Article: The Granular Nature of Large Institutional Investors (2021)
Working Paper: The Granular Nature of Large Institutional Investors (2019)
Working Paper: The Granular Nature of Large Institutional Investors (2016)
Working Paper: The Granular Nature of Large Institutional Investors (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:ohidic:2015-09

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