Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/193711
Title: Investor Heterogeneity and Liquidity
Authors: Chan, Kalok 
Cheng, Si
Hameed, Allaudeen 
Keywords: Liquidity
Volatility of Liquidity
Investor Heterogeneity
Illiquidity Premium
Issue Date: 10-Dec-2020
Citation: Chan, Kalok, Cheng, Si, Hameed, Allaudeen (2020-12-10). Investor Heterogeneity and Liquidity. ScholarBank@NUS Repository.
Abstract: Fund flows are more correlated among funds with similar investment horizon, consistent with correlated demand for liquidity. We find that stocks held by institutions with more heterogeneous investment horizon are more liquid and have lower volatility of liquidity. Identification tests confirm the improvement in stock liquidity holds when the increase in investor heterogeneity arises from an exogenous shock due to the 2003 tax reform. Additionally, extreme flow-induced trading by institutional funds has a bigger price impact when stocks have a less heterogeneous investor base. Moreover, the premium associated with stock illiquidity is concentrated in stocks with low investor heterogeneity.
URI: https://scholarbank.nus.edu.sg/handle/10635/193711
Appears in Collections:Staff Publications
Elements

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
Investor Heterogeneity and Liquidity 20210211.pdfAccepted version1.67 MBAdobe PDF

OPEN

Post-printView/Download
Investor Heterogeneity and Liquidity 20210211.pdfAccepted version1.67 MBAdobe PDF

CLOSED (no policy)

None

Page view(s)

115
checked on Sep 29, 2022

Download(s)

1
checked on Sep 29, 2022

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.