Volatility and the Institutional Investor

Richard W. Sias

Financial Analysts Journal, 1996, vol. 52, issue 2, 13-20

Abstract: Inconsistent with the relationship predicted by most academic theory, a positive contemporaneous association is documented between the level of institutional ownership and security return volatility after accounting for capitalization. This relationship is consistent with two stories: Either riskier securities attract institutional investors, or an increase in institutional holdings results in an increase in volatility. These empirical results are consistent with the latter interpretation.

Date: 1996
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DOI: 10.2469/faj.v52.n2.1976

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