The Granular Nature of Large Institutional Investors

• 成果类型: Article
• 署名作者: Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih; Sedunov, John
• 署名单位: University System of Ohio; Ohio State University; National Bureau of Economic Research; Universita della Svizzera Italiana; University of Geneva; Villanova University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3808
• 发表日期: 2021
• 页码: 6629-6659
• 关键词: institutional investors; Concentration; Granularity; fire sales; liquidity; Price impact; FLOWS; nonfundamental demand

摘要

Large institutional investors own an increasing share of the equity markets in the United States. The implications of this development for financial markets are still unclear. The paper presents novel empirical evidence that ownership by large institutions predicts higher volatility and greater noise in stock prices as well as greater fragility in times of crisis. When studying the channel, we find that large institutional investors exhibit traits of granularity (i.e., subunits within a firm display correlated behavior), which reduces diversification of idiosyncratic shocks. Thus, large institutions trade larger volumes and induce greater price impact.