Volatility and Institutional Investor Holdings in a Declining Market: A Study of NASDAQ During the Year 2000
11 Pages Posted: 6 Jan 2005
Abstract
We investigate the differences in the holdings of institutional investors relative to individual investors during an eight-month period between March and November 2000, where the Nasdaq Composite index fell 46.23% in value. We find evidence that during that market decline, institutional investors held stocks with less return volatility than individual investors. Our evidence of institutional investor preference for holding lower volatility stocks in a declining market may indicate their relatively greater sensitivity to downside risk. As a consequence, institutional investors are found to perform better than individual investors during that specific time period.
JEL Classification: G12, G23
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Institutional Investors and Equity Prices
By Paul A. Gompers and Andrew Metrick
-
New Evidence on Stock Price Effects Associated with Charges in the S&P 500 Index
-
Limited Arbitrage in Mergers and Acquisitions
By Malcolm P. Baker and Serkan Savasoglu
-
The Demand for Stocks: An Analysis of IPO Auctions
By Shmuel Kandel (deceased), Oded Sarig, ...
-
Arbitrage Risk and the Book-to-Market Anomaly
By Ashiq Ali, Lee-seok Hwang, ...