Institutional Investors and Equity Prices
Institutional Investors and Equity Prices
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DOI：
10.2139/ssrn.93660
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发表时间：
1998-06
期刊：
影响因子：
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通讯作者：
Paul A. Gompers;Andrew Metrick
中科院分区：
文献类型：
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作者：
Paul A. Gompers;Andrew Metrick
本文分析了机构投资者对股票特性的需求，以及这种需求对股票价格和收益的影响。我们发现，从1980年到1996年，“大型”机构投资者在股市中的份额几乎翻了一番。总的来说，这种结构变化往往会增加对大公司股票的需求，减少对小公司股票的需求。这种构成上的变化本身就可以解释大公司股票相对于小公司股票价格上涨近50%的原因，也可以解释历史上小公司股票溢价消失的部分原因。
This paper analyzes institutional investors' demand for stock characteristics and the implications of this demand for stock prices and returns. We find that "large" institutional investors nearly doubled their share of the stock market from 1980 to 1996. Overall, this compositional shift tends to increase demand for the stock of large companies and decrease demand for the stock of small companies. The compositional shift can, by itself, account for a nearly 50 percent increase in the price of large-company stock relative to small-company stock and can explain part of the disappearance of the historical small-company stock premium.