Citation

Discussion Paper Details

Please find the details for DP15654 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: Institutional Investors and Granularity in Equity Markets

Author(s): Eric Ghysels, Hanwei Liu and Steve Raymond

Publication Date: January 2021

Keyword(s):

Programme Area(s): Financial Economics

Abstract: The U.S. equity markets are largely driven by actions of institutional investors. Using quarterly 13-F holdings, we construct the Herfindahl-Hirschman Index of institutional investor concentration as a measure of granularity. We study how granularity affects: the cross-section of returns, conditional variances and downside risk. Next, we study the impact of granularity in a demand-driven asset pricing model introduced by Koijen and Yogo (2019). We derive a decomposition of expected returns in terms of equally weighted asset demands and granularity residuals. Using this decomposition, we revisit the empirical stylized facts pertaining to granularity and asset pricing.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=15654

Bibliographic Reference

Ghysels, E, Liu, H and Raymond, S. 2021. 'Institutional Investors and Granularity in Equity Markets'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=15654