원문정보
초록
영어
In this paper we examine the informational role of local institutional investors in stock markets. Using state identifiers as our primary measure of geographic proximity and geographically proximate institutions as a close approximation to informed investors, we show that both the level of and change in local institutional ownership predict future stock returns; in contrast, such predictive abilities are relatively weak for nonlocal institutional ownership. Moreover, the positive relation between local institutional holdings and stock performance is pronounced in firms with high information asymmetry, such as small firms, firms with high return volatility, firms with high R&D intensity, and young firms. Finally, we find that local, but not nonlocal, institutional investors begin to reduce their holdings prior to a break in a string of consecutive nonnegative quarterly earnings surprises. These findings suggest that geography proxies for the availability of information and allows local institutional investors to execute profitable trades based on their superior information.
목차
1. Introduction
2. Literature Review: Geographic Proximity and Informational Advantages
3. Sample Selection
3.1. Data
3.2. Descriptive statistics
4. Determinants of Local Institutional Ownership
5. Local Institutional Holdings and Future Stock Returns
5.1. Level of local institutional ownership and future returns
5.2. Local institutional trading and future returns
5.3. Portfolio performance
5.4. Earnings surprise and institutional trading
6. Additional Tests
6.1. Investment horizons (short-term versus long-term institutional investors)
6.2. Institutional investor types
6.3. Index funds
7. Summary and Conclusion
REFERENCES
Table
Appendix