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Three Essays on Institutional Investors.

Wu, Jun.

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Three Essays on Institutional Investors.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Three Essays on Institutional Investors./
作者:	Wu, Jun.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
面頁冊數:	157 p.
附註:	Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.
Contained By:	Dissertation Abstracts International79-01A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10618714
ISBN:	9780355228984

Three Essays on Institutional Investors.
Wu, Jun.

Three Essays on Institutional Investors. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 157 p.

Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.

Thesis (Ph.D.)--Indiana University, 2017.

Institutional equity trading volume has increased significantly in the past twenty years. Recent studies show that a group institutional investors have information advantages and stock selection ability. They seem to select to concentrate their holdings in a few industries and have abilities to trade ahead of news releases. My essays provide first evidence regarding the usage of fund managers' private information channels and unique trading strategies to achieve superior performance.

ISBN: 9780355228984Subjects--Topical Terms:

542899
Finance.

Three Essays on Institutional Investors.
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520 $a I provide novel evidence from daily trades regarding the news trading abilities of individual mutual funds. I document that a subset of actively managed mutual funds exhibits significant short-term stock-picking and market timing skills ahead of a wide range of firm-specific and macroeconomic news releases. I find skilled stock pickers are also good at market timing. Their success is strongly related to managers' geographic connections, school ties, expertise in a specific discipline, and past industry or government affiliations. My second essay shows that industry momentum trading is an important motivation for mutual funds to concentrate in specific industries. Unlike managers' private industry information, industry momentum is a well-known trading strategy. It is straightforward to follow and can generate substantial abnormal returns. I find that industry-concentrated mutual funds have significant loadings on the industry momentum factor. Using fund holdings, I show that these funds deviate from random industry concentration and have similar industry holdings to portfolios trading industry momentum. The third essay studies stock risk exposures related to institutional trading. I find a significant cross-sectional relation between market liquidity and funding liquidity. Institutional arbitrageurs pick stocks based on stock characteristics such as cash flow volatility that drives the cross-sectional relation.
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