Please use this identifier to cite or link to this item: https://doi.org/10.2469/faj.v67.n6.2
Title: The impact of international institutional investors on local equity prices: Reversal of the size premium
Authors: Jiang, H.
Yamada, T. 
Issue Date: 2011
Source: Jiang, H.,Yamada, T. (2011). The impact of international institutional investors on local equity prices: Reversal of the size premium. Financial Analysts Journal 67 (6) : 61-76. ScholarBank@NUS Repository. https://doi.org/10.2469/faj.v67.n6.2
Abstract: Using comprehensive company-level ownership data from Japan, the authors found that the equity size premium correlates strongly with the investment flows of international institutional investors. When investment flows intensified and shifted into larger stocks in the mid-1990s, the equity size premium was reversed. Their findings suggest that a large fraction of the time variation in the size premium is driven by price pressures, regardless of any shift in the fundamentals of small and large companies. ©2011 CFA Institute.
Source Title: Financial Analysts Journal
URI: http://scholarbank.nus.edu.sg/handle/10635/44446
ISSN: 0015198X
DOI: 10.2469/faj.v67.n6.2
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