Passive Institutional Ownership,R2Trends, and Price Informativeness
| Autor: | Dan W. French, Maria Gabriela Schutte, R. Jared DeLisle |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Earnings Financial economics 05 social sciences Equity (finance) 04 agricultural and veterinary sciences Passive management 0502 economics and business Economics 0401 agriculture forestry and fisheries Predictability Market model Volatility (finance) Capital market Finance Stock (geology) |
| Zdroj: | Financial Review. 52:627-659 |
| ISSN: | 0732-8516 |
| Popis: | A distinctive trend in the capital markets over the past two decades is the rise in equity ownership of passive financial institutions. We propose that this rise has a negative effect on price informativeness. By not trading around firm-specific news, passive investors reduce the firm-specific component of total volatility and increase stock correlations. Consistent with this hypothesis, we find that the growth in passive institutional ownership is robustly associated with the growth in market model R2s of individual stocks since the early 1990s. Additionally, we find a negative relation between passive ownership and earnings predictability, an informativeness proxy. |
| Databáze: | OpenAIRE |
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