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作者 Agarwal, Prasun
書名 Institutional ownership, liquidity and liquidity risk
國際標準書號 9781109413076
book jacket
說明 196 p
附註 Source: Dissertation Abstracts International, Volume: 70-10, Section: A, page: 3924
Adviser: Maureen O'Hara
Thesis (Ph.D.)--Cornell University, 2009
In this dissertation, I focus on examining the effects of institutional ownership on stocks' liquidity and liquidity risk using a sample of firms listed on the NYSE and the AMEX over the period 1980--2005. The first chapter provides a brief introduction to liquidity and emphasizes the role of institutional ownership in financial markets
In the second chapter, I examine the relationship between institutional ownership and liquidity of stocks, focusing on the effect of institutions' relative information advantage. The information advantage of institutions can affect liquidity through two channels: decreasing liquidity resulting from increasing information asymmetry (adverse selection effect) and increasing liquidity resulting from increasing price discovery due to competition among institutions' information efficiency effect
My evidence indicates a non-monotonic (U-shaped) relationship between the level of institutional ownership and stock liquidity. The two effects vary with the amount of publicly available information and asset risk. I also find that institutional ownership (Granger) causes liquidity, allaying concerns that the findings result from institutions' preference for liquid stocks. Lastly, I document that liquidity decreases with increasing diversification of the portfolio of institutional investors and the fraction of equity held by long-term investors
In the third chapter, I examine the effects of institutional ownership on stocks' time variation in liquidity. It helps advance an understanding of the sources of commonality in liquidity and the determinants of the sensitivity of an asset's liquidity to changes in marketwide liquidity (systematic liquidity risk) and the total variance of liquidity of a firm over time. I interpret my findings in the context of correlated trading by institutions resulting either from their tendency to herd or to trade on common information and signals
I find that systematic liquidity risk increases with the level of institutional ownership, homogeneity and investment-horizon of the institutional investor base, while it decreases with ownership concentration and increase in blockholdings. However, the variance of liquidity decreases with the level of institutional ownership, homogeneity of the investor base and ownership concentration. Overall, the findings indicate that the ownership structure of stocks affects both the systematic liquidity risk and the variation in their liquidity over time
School code: 0058
Host Item Dissertation Abstracts International 70-10A
主題 Business Administration, Management
Economics, Finance
Alt Author Cornell University
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