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Hedge fund stock trading in the financial crisis of 2007 - 2009

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011

fund investors do in response to poor returns. We relate this stronger sensitivity to losses to share liquidity … restrictions and institutional ownership in hedge funds. Hedge funds, Liquidity, Aggregate Liquidity, Arbitrage, Funding Liquidity …, Illiquidity, Liquidity Crisis, Crisis Stock Market Crash, Limits to Arbitrage, Liquidity Spirals, Short Selling, Short Sellers, 13 …

Persistent link: https://www.econbiz.de/10009009543

Asset price effects of peer benchmarking : evidence from a natural experiment

Acharya, Sushant; Pedraza, Alvaro - 2015

We estimate the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, we exploit a natural experiment involving a change in a government-imposed...

Persistent link: https://www.econbiz.de/10010514042

Market power in the portfolio : product market competition and mutual fund performance

Jaspersen, Stefan - 2016 - This draft: September 2016

I provide evidence that fund managers who overweight firms with the most differentiated products ('monopolies') exhibit a superior risk-adjusted performance. This is consistent with information advantages due to a better understanding of qualitative information on a firm's competitive...

Persistent link: https://www.econbiz.de/10011539240

Optimal long-term allocation with pension fund liabilities

Jondeau, Eric; Rockinger, Michael - 2014

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

Persistent link: https://www.econbiz.de/10010442892

Institutional Trading Performance in a Retail Investor Dominated Emerging Market

Li, Wei - 2011

In this study, we use daily trading data to investigate the performance of institutional investors in the Chinese stock market, which is dominated by retail investors. We find that stocks with intense institutional net buying significantly outperform those with intense institutional net selling...

Persistent link: https://www.econbiz.de/10013128757

Short Selling Bans and Institutional Investors' Herding Behavior : Evidence from the Global Financial Crisis

Siklos, Pierre L. - 2011

The literature on short selling restrictions focuses mainly on a ban's impact on market efficiency, liquidity and …

Persistent link: https://www.econbiz.de/10013131230

Market Efficiency and Foreign Institutional Trading : Evidence from the Taiwan Futures Market

Chou, Robin K. - 2012

, despite a significant increase in foreign institution trading over the past few years, liquidity costs increased significantly …

Persistent link: https://www.econbiz.de/10013101710

Are Short Sellers Informed? Evidence from the Bond Market

Kecskes, Ambrus - 2012

We examine whether short sellers in the equity market provide valuable information to investors in the bond market. Using a sample of publicly traded bond data covering the period from 1988 to 2011, we find that firms with high short interest have lower credit ratings and are more likely to have...

Persistent link: https://www.econbiz.de/10013105311

Institutional Trading during a Wave of Corporate Scandals : 'Perfect Payday'?

Bernile, Gennaro (帅纳) - 2013

This paper examines the role of institutional trading during the option backdating scandal of 2006-2007. Unlike their inability to anticipate other corporate events, institutional investors as a group display negative abnormal trading imbalances (i.e., buy minus sell volumes) in anticipation of...

Persistent link: https://www.econbiz.de/10013089940

Why Do Investors Trade?

Kelley, Eric K. - 2013

, market liquidity, and return volatility associated with regular and extended-hours markets as well as news arrival. We find …

Persistent link: https://www.econbiz.de/10013090972