Investor heterogeneity and negative skewness in stock returns: Evidence from institutional investors

Ramzi Benkraiem, Stéphane Goutte, Samir Saadi, Hui Zhu and Steven Zhu

Journal of International Financial Markets, Institutions and Money, 2022, vol. 81, issue C

Abstract: We examine the relation between the probability of future stock price crash and investors’ investment horizons. Using negative skewness as a proxy for firm-specific crash risk, we document a positive association between institutional ownership and stock price crash risk. The relation is, however, driven by short-term institutional investors, while the presence of long-term institutional investors has a negative effect on stock price crash risk. In addition, we find that the presence of short-term institutional investors induces corporate risk-taking behavior. Our results are robust to alternative model specifications, endogeneity concerns, and different measures of crash risk and proxies of investors’ horizons.

Keywords: Investors’ investment horizons; Crash risk; Skewness; Institutional Investors (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001627

DOI: 10.1016/j.intfin.2022.101690

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