Publication: Three essays on institutional investing
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2015-12
Defense date
2016-02-05
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Abstract
Esta tesis estudia las transacciones de una muestra grande de inversores institucionales de EE.UU.
y examina el rol de este sub-grupo de inversores en el fomento de mercados más recientes. El
primer capítulo estudia la existencia de un vínculo directo entre los inversores institucionales y los
co-movimientos de la liquidez observados en los mercados bursátiles. A diferencia de otros estudios que emplean diferentes proxies para el comercio agregado institucional, este trabajo utiliza una
base de datos distribuida por ANcerno Ltda. que provee datos de alta frecuencia de transacciones
institucionales. La evidencia empírica sugiere que los co-movimientos de la liquidez aumentan con
la actividad comercial institucional a nivel agregado. Los resultados de las negociaciones bursátiles
institucionales para pares de acciones sugieren que esta relación es una consecuencia de la correlación
en las transacciones. Los resultados son robustos a diferentes especificaciones, formas funcionales y
sub-muestras basadas en características de las acciones y periodos de tiempo. Además, utilizando
el escándalo de los fondos mutuos de 2003, se observa alguna evidencia de un vínculo causal entre
la co-variación de la liquidez y las operaciones comerciales institucionales a nivel agregado. El segundo capítulo investiga las fuentes de la relación contemporánea entre los cambios de propiedad
institucional y los retornos trimestrales, examinando la relación transversal diaria e intradiaria entre
retornos y desequilibrios institucionales de oferta-demanda. Los hallazgos empíricos sugieren que la
relación contemporánea trimestral (diaria) está determinada principalmente por inversores institucionales siguiendo los movimientos intra-trimestrales (intra-diarios). No se encuentra evidencia que
apoye la habilidad de los inversores institucionales para predecir retornos intra-trimestrales (intra-diarios). De otro lado, el comercio institucional de momentum de corto plazo no parece tener un
efecto desestabilizador en los precios de los activos. El tercer capítulo brinda evidencia sobre el
comportamiento institucional de manada en el corto plazo. En el estudio se encuentra una evidencia
débil de comportamiento de manada, lo cual es consistente con los resultados trimestrales encontrados en otros artículos. Además, en concordancia con la literatura previa, los resultados sugieren
que el comportamiento de manada desde el lado de la demanda tiene un efecto estabilizador sobre
los precios, mientras que, desde el lado de la oferta, tiene un efecto desestabilizador. Finalmente, la
persistencia en el comportamiento institucional de manada es un predictor fuerte de la reversión de
los retornos.
This thesis studies the trading activities for a large sample of the U.S. institutional investors and examines the role played by this sub-group of investors in promoting more efficient markets. The first chapter addresses the question of whether there is a direct link between institutional trading activities and liquidity co-movement observed in equity markets. Unlike the previous studies that employ different proxies for the aggregate institutional trading, I use a proprietary database distributed by ANcerno Ltd., that provides high-frequency institutional transaction data. The empirical evidence suggests that commonality in liquidity increases with the aggregate institutional trading activity. The results of common institutional trading for pairs of stocks suggest that this relationship is a consequence of correlated trading . The findings are robust to different specifications, functional forms and sub-samples based on stock characteristics and time periods. Furthermore, using the mutual fund scandal of 2003, I find some evidence of causal link between commonality in liquidity and institutional trading activity. The second chapter investigates the sources of the contemporaneous relation between the changes in institutional ownership and returns found at quarterly intervals by examining the daily and intradaily cross-sectional relation between institutional buy-sell imbalances and returns. The empirical findings suggest that the quarterly (daily) contemporaneous relation is mainly driven by institutional investors following the intra-quarter (intradaily) price movements. I do not find any evidence to support the institutional investors' ability to predict intra-quarter (intradaily) returns. Additionally, the short-term institutional momentum trading doesn't does not seem to have a destabilizing effect on prices. The third chapter provides empirical evidence on the short-term institutional herding. I document a weak evidence of weekly institutional herding, which is consistent with the quarterly results found in the previous studies. Moreover, in accordance to the the extant literature, I find that buy-side herding has a stabilizing effect on prices, while the sell-side herding affects the prices in a destabilizing manner. Finally, I find that the persistence in institutional herding is a strong predictor of return reversals.
This thesis studies the trading activities for a large sample of the U.S. institutional investors and examines the role played by this sub-group of investors in promoting more efficient markets. The first chapter addresses the question of whether there is a direct link between institutional trading activities and liquidity co-movement observed in equity markets. Unlike the previous studies that employ different proxies for the aggregate institutional trading, I use a proprietary database distributed by ANcerno Ltd., that provides high-frequency institutional transaction data. The empirical evidence suggests that commonality in liquidity increases with the aggregate institutional trading activity. The results of common institutional trading for pairs of stocks suggest that this relationship is a consequence of correlated trading . The findings are robust to different specifications, functional forms and sub-samples based on stock characteristics and time periods. Furthermore, using the mutual fund scandal of 2003, I find some evidence of causal link between commonality in liquidity and institutional trading activity. The second chapter investigates the sources of the contemporaneous relation between the changes in institutional ownership and returns found at quarterly intervals by examining the daily and intradaily cross-sectional relation between institutional buy-sell imbalances and returns. The empirical findings suggest that the quarterly (daily) contemporaneous relation is mainly driven by institutional investors following the intra-quarter (intradaily) price movements. I do not find any evidence to support the institutional investors' ability to predict intra-quarter (intradaily) returns. Additionally, the short-term institutional momentum trading doesn't does not seem to have a destabilizing effect on prices. The third chapter provides empirical evidence on the short-term institutional herding. I document a weak evidence of weekly institutional herding, which is consistent with the quarterly results found in the previous studies. Moreover, in accordance to the the extant literature, I find that buy-side herding has a stabilizing effect on prices, while the sell-side herding affects the prices in a destabilizing manner. Finally, I find that the persistence in institutional herding is a strong predictor of return reversals.
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Keywords
Inversores, Estados Unidos, Liquidez bancaria, Mercados financieros