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


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Abstract

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

Associations

People
Weber, Rüdiger (Details)
Organization
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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