This study examines how heterogeneous institutional ownership affects stock price delay. Our result shows higher total institutional ownership and the number of institutions reduce price delay. We further classify institution types from stock's perspective (top 5 and year-long) and institution's...

We examine the relationship between portfolio risk and equity returns over different investment horizons of institutional investors. Compared to long-term institutions, portfolios held by short-term institutions exhibit higher factor loadings in market, size, and momentum. In particular, they...

I examine whether the market's reaction to firms' earnings news varies with analysis (i.e., editorial content) produced by financial journalists. A series of restructuring events at The Wall Street Journal (WSJ) suggests that WSJ articles improve price discovery and increase trading volume at...

Consistent with mispricing explanations proposed in the literature to explain the value premium, the value premium is driven by stocks held by individual investors. Stocks held by institutional investors do not exhibit any significant value premium nor value effect while representing 93% of the...

We consider the infinite time-horizon optimal basket portfolio liquidation problem for a von Neumann-Morgenstern investor in a multi-asset extension of the liquidity model of Almgren (2003) with cross-asset impact. Using a stochastic control approach, we establish a quot;separation theoremquot;:...

The empirical literature identifying gains from financial innovation to financial institution stockholders is sparse. The literature identifying financial firms' contributions to stockholder value resulting from long term commitment to innovation is, to our knowledge, nonexistent. Several...

This paper investigates an unintended consequence of equity-based compensation plans: in highly volatile firms, managers appear to undermine the compensation system's intended effect of aligning managers' interests with those of shareholders. Specifically, many managers are selling at least a...

Abstract: We use reporting data from 2001 annual reports to construct a single measure of propensity to innovate for each member of a multi-country sample of global financial institutions. The measure proves to be robust when reconstructed from later 2002-2005 annual reports. It is also value...

This paper investigates the impact of institutional trading volume on stock market anomalies. I construct a measure that evaluates the percentage of total trading volume of a stock accounted for by institutional trades. Using a large sample of firms from 1980ndash;2005, I find strong evidence...