Investors' Horizons and the Amplification of Market Shocks

• 成果类型: Article
• 署名作者: Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta
• 署名单位: Stockholm School of Economics; Indiana University System; Indiana University Bloomington
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht023
• 发表日期: 2013
• 页码: 1607
• 关键词: asset fire sales; institutional investors; PRICE PRESSURE; performance; liquidity; funds; RISK; purchases; momentum; earnings

摘要

This paper shows that during episodes of market turmoil, 13F institutional investors with short trading horizons sell their stockholdings to a larger extent than 13F institutional investors with longer trading horizons. This creates price pressure for stocks held mostly by short-horizon investors, which, as a consequence, experience larger price drops, and subsequent reversals, than stocks held mostly by long-horizon investors. These findings, obtained after controlling for the withdrawals experienced by the investors, are not driven by other institutional investors' and firms' characteristics. Overall, the evidence indicates that investors with short horizons amplify the effects of market-wide negative shocks by demanding liquidity at times when other potential buyers'capital is scarce.