Institutional Investors and the Beta Anomaly

I investigate the impact of institutional ownership on the beta anomaly and find that the beta anomaly is concentrated in stocks with high institutional ownership. Further examination shows that only ownership from short-term institutional investors exacerbates the beta anomaly. I consider several explanations and find that: (i) stocks with greater short-term institutional ownership have higher arbitrage costs; (ii) trading of short-term institutional investors leads to the reversal of the beta anomaly; (iii) short-term institutional investors are more responsive to earnings. These results provide evidence that institutional investment horizons play an important role in explaining the beta anomaly.

Grantor dc:publisher

State University of New York at Buffalo

Year dc:date.issued

2018

Author dc:creator

• Jiang, Yuxiang

Contributors dc:contributor

• Ogden, Joseph
• Finance

• finance

Statement dc:rights

• Users of works found in University at Buffalo Institutional Repository (UBIR) are responsible for identifying and contacting the copyright owner for permission to reuse. University at Buffalo Libraries do not manage rights for copyright-protected works and cannot assist with permissions.
• Copyright retained by author.

Language dc:language

eng

Handle dc:identifier

http://hdl.handle.net/10477/78082

OAI record oai:identifier

https://ubir.buffalo.edu/oai/request?verb=GetRecord&metadataPrefix=qdc&identifier=oai%3Aubir.buffalo.edu%3A10477%2F78082