Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/38798
Title: Institutional Ownership, Retail Trading and Stock Return Comovement
Authors: CHENG SI
Keywords: Return comovement, institutional ownership, retail trading, fire sales
Issue Date: 4-Mar-2013
Source: CHENG SI (2013-03-04). Institutional Ownership, Retail Trading and Stock Return Comovement. ScholarBank@NUS Repository.
Abstract: This thesis studies the excess return comovement among stocks with similar institutional ownership. I show that after a negative exogenous demand shock on institutional ownership, stocks comove more with low institutional ownership stocks and comove less with high institutional ownership stocks. Moreover, such excess return comovement increases with retail trading, especially for stocks favored by retail investors, and during periods of high market uncertainty. The overall results suggest that the institutional ownership-based excess return comovement is in line with the category or habitat view of return comovement, and institutional ownership plays a crucial role in shaping the investor clientele and the consequent excess return comovement.
URI: http://scholarbank.nus.edu.sg/handle/10635/38798
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