Publication Type
Journal Article
Version
acceptedVersion
Publication Date
9-2009
Abstract
Using a broad panel of NYSE-listed stocks between 1983 and 2004, we study the relation between institutional shareholdings and the relative informational efficiency of prices, measured as deviations from a random walk. Stocks with greater institutional ownership are priced more efficiently, and we show that variation in liquidity does not drive this result. One mechanism through which prices become more efficient is institutional trading activity, even when institutions trade passively. But efficiency is also directly related to institutional holdings, even after controlling for institutional trading, analyst coverage, short selling, variation in liquidity, and firm characteristics.
Keywords
market efficiency, institutional investors, institutional trading, market quality
Discipline
Corporate Finance | Portfolio and Security Analysis
Research Areas
Finance
Publication
Review of Financial Studies
Volume
22
Issue
9
First Page
3563
Last Page
3594
ISSN
0893-9454
Identifier
10.1093/rfs/hhp028
Publisher
Oxford University Press
Citation
BOEHMER, Ekkehart and Kelley, Eric K..
Institutional investors and the informational efficiency of prices. (2009). Review of Financial Studies. 22, (9), 3563-3594.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4689
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/10.1093/rfs/hhp028