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Three Essays on Institutional Investors.
~
Indiana University.
Three Essays on Institutional Investors.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Three Essays on Institutional Investors./
作者:
Wu, Jun.
面頁冊數:
1 online resource (157 pages)
附註:
Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.
Contained By:
Dissertation Abstracts International79-01A(E).
標題:
Finance. -
電子資源:
click for full text (PQDT)
ISBN:
9780355228984
Three Essays on Institutional Investors.
Wu, Jun.
Three Essays on Institutional Investors.
- 1 online resource (157 pages)
Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.
Thesis (Ph.D.)
Includes bibliographical references
Institutional equity trading volume has increased significantly in the past twenty years. Recent studies show that a group institutional investors have information advantages and stock selection ability. They seem to select to concentrate their holdings in a few industries and have abilities to trade ahead of news releases. My essays provide first evidence regarding the usage of fund managers' private information channels and unique trading strategies to achieve superior performance.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9780355228984Subjects--Topical Terms:
559073
Finance.
Index Terms--Genre/Form:
554714
Electronic books.
Three Essays on Institutional Investors.
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Advisers: Veronika K. Pool; Craig W. Holden.
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Indiana University
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Includes bibliographical references
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Institutional equity trading volume has increased significantly in the past twenty years. Recent studies show that a group institutional investors have information advantages and stock selection ability. They seem to select to concentrate their holdings in a few industries and have abilities to trade ahead of news releases. My essays provide first evidence regarding the usage of fund managers' private information channels and unique trading strategies to achieve superior performance.
520
$a
I provide novel evidence from daily trades regarding the news trading abilities of individual mutual funds. I document that a subset of actively managed mutual funds exhibits significant short-term stock-picking and market timing skills ahead of a wide range of firm-specific and macroeconomic news releases. I find skilled stock pickers are also good at market timing. Their success is strongly related to managers' geographic connections, school ties, expertise in a specific discipline, and past industry or government affiliations. My second essay shows that industry momentum trading is an important motivation for mutual funds to concentrate in specific industries. Unlike managers' private industry information, industry momentum is a well-known trading strategy. It is straightforward to follow and can generate substantial abnormal returns. I find that industry-concentrated mutual funds have significant loadings on the industry momentum factor. Using fund holdings, I show that these funds deviate from random industry concentration and have similar industry holdings to portfolios trading industry momentum. The third essay studies stock risk exposures related to institutional trading. I find a significant cross-sectional relation between market liquidity and funding liquidity. Institutional arbitrageurs pick stocks based on stock characteristics such as cash flow volatility that drives the cross-sectional relation.
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2018
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Mode of access: World Wide Web
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click for full text (PQDT)
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