Country Origins and Types of Institutional Investors, and Firm-specific Information Flows : Evidence from Worldwide Institutional Ownerships

Research output: Conference Papers (RGC: 31A, 31B, 32, 33)32_Refereed conference paper (no ISBN/ISSN)peer-review

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Detail(s)

Original languageEnglish
Publication statusPublished - Dec 2017

Conference

Title2017 Auckland Finance Meeting
PlaceNew Zealand
CityQueenstown
Period18 - 20 December 2017

Abstract

Using quarterly firm-level data on worldwide institutional ownership from 40 countries during the period of 1998–2006, this study investigates whether and how shareholdings by institutional investors affect the information environment, particularly the relative flow of firm-specific versus common information in the market. We find that shareholdings by foreign (especially U.S.), high-stake, and short-term institutions contribute more to the incorporation of firm-specific information into stock return, thereby reducing stock return comovement, compared with domestic, low-stake, and long-term institutions, respectively. Our change analyses show that an increase in foreign (particularly U.S.), high-stake, and short-term institutional ownership leads to a subsequent decrease in stock return comovement, but not vice versa. Overall, our results are robust to a variety of sensitivity checks.

Research Area(s)

  • Institutional investors, firm-specific information, common information, stock return comovement

Citation Format(s)

Country Origins and Types of Institutional Investors, and Firm-specific Information Flows : Evidence from Worldwide Institutional Ownerships. / Jiang, Li; Kim, Jeong-Bon; Pang, Lei.

2017. Paper presented at 2017 Auckland Finance Meeting, Queenstown, New Zealand.

Research output: Conference Papers (RGC: 31A, 31B, 32, 33)32_Refereed conference paper (no ISBN/ISSN)peer-review