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Institutional Capital Allocation and Equity Returns: Evidence from Thai Mutual Funds' Holdings

Roongkiat Ratanabanchuen and Kanis Saengchote
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Roongkiat Ratanabanchuen: Chulalongkorn Business School
Kanis Saengchote: Chulalongkorn Business School

PIER Discussion Papers from Puey Ungphakorn Institute for Economic Research

Abstract: Information about mutual funds' stock holdings can provide useful signal for investors. In this study, we show that portfolio of stocks that are not favored by mutual funds tend to perform poorly, with monthly returns of 0.38% to 0.82% lower than stocks more widely held. When compared against asset pricing models, portfolio of such stocks can have monthly alphas as low as -0.33%, and the reason seems unrelated to stock-picking ability. One possible explanation is that demand from institutional investors can drive up stock prices, highlighting the importance of investor clientele in emerging market asset pricing.

Keywords: Mutual funds returns; Investment horizon; Asset pricing; Institutional ownership (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Pages: 12 page
Date: 2018-10, Revised 2018-10
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