Publication Type
Journal Article
Version
acceptedVersion
Publication Date
12-2008
Abstract
This paper explores the importance and price implications of style investing by institutional investors in the stock market. To analyze styles, we assign stocks to deciles or segments across three style dimensions: size, value/growth, and sector. We find strong evidence that institutional investors reallocate across style groupings more intensively than across random stock groupings. In addition, we show that own segment style inflows and returns positively forecast future stock returns, while distant segment style inflows and returns forecast negatively. We argue that behavioral theories play a role in explaining these results.
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of Financial and Quantitative Analysis
Volume
43
Issue
4
First Page
883
Last Page
906
ISSN
0022-1090
Identifier
10.1017/S0022109000014381
Publisher
Cambridge University Press
Citation
FROOT, Kenneth and TEO, Melvyn.
Style Investing and Institutional Investors. (2008). Journal of Financial and Quantitative Analysis. 43, (4), 883-906.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/2542
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1017/S0022109000014381