Who blinks in volatile markets, individuals or institutions?

• 成果类型: Article
• 署名作者: Dennis, PJ; Strickland, D
• 署名单位: University of Virginia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00484
• 发表日期: 2002
• 页码: 1923-1949
• 关键词: impact; Herd; return

摘要

We investigate the relationship between the ownership structure and returns of firms on days when the absolute value of the market's return is two percent or more. We find that a firm's abnormal return on these days is related to the percentage of institutional ownership, that there is abnormally high turnover in the firm's shares on these days, and that this abnormal turnover is significantly related to the percentage of institutional ownership in the firm. Taken together, these results are consistent with positive feedback herding behavior on the part of some institutions, particularly mutual and pension funds.