Quotation Weber, Rüdiger. 2021. Institutional Investors, Households and the Time-Variation in Expected Stock Returns. AFFI, Nantes, Frankreich, 26.05.-28.05.




I document a new stylized fact: the higher the degree of institutional ownership (IO) in a portfolio, the more time-varying expected returns rather than changes in expected cash flows drive changes in its valuation. Empirical evidence suggests that institutions' time-varying sensitivity to the risk of holding stocks translates into time-varying expected returns on high-IO stocks. In my model, imperfect risk sharing between different types of investors generates cross-sectional differences in return predictability based on ownership, even among a-priori identical stocks. My findings suggest an economic rationale for weak return predictability of small stocks and predictability reversals of stocks and REITs.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Institutional Investors, Households and the Time-Variation in Expected Stock Returns
Event AFFI
Year 2021
Date 26.05.-28.05
Country France
Location Nantes


Weber, Rüdiger (Details)
Institute for Finance, Banking and Insurance IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5358 Corporate finances (Details)
5361 Financial management (Details)
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