Lewellen, 2011 - Google Patents
Institutional investors and the limits of arbitrageLewellen, 2011
View PDF- Document ID
- 9975233075863857034
- Author
- Lewellen J
- Publication year
- Publication venue
- Journal of Financial Economics
External Links
Snippet
The returns and stock holdings of institutional investors from 1980 to 2007 provide little evidence of stock-picking skill. Institutions as a whole closely mimic the market portfolio, with pre-cost returns that have nearly perfect correlation with the value-weighted index and an …
- 230000000694 effects 0 abstract description 31
Classifications
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING; COUNTING
- G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING; COUNTING
- G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
- G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING; COUNTING
- G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Exchange, e.g. stocks, commodities, derivatives or currency exchange
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING; COUNTING
- G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/10—Tax strategies
Similar Documents
| Publication | Publication Date | Title |
|---|---|---|
| Lewellen | Institutional investors and the limits of arbitrage | |
| Agarwal et al. | Mandatory portfolio disclosure, stock liquidity, and mutual fund performance | |
| Blume et al. | Institutional investors and stock market liquidity: trends and relationships | |
| Israel et al. | The role of shorting, firm size, and time on market anomalies | |
| Chan | Stock price reaction to news and no-news: drift and reversal after headlines | |
| Cao et al. | The performance of reverse leveraged buyouts | |
| Ibbotson et al. | Liquidity as an investment style | |
| Blume et al. | The changing nature of institutional stock investing | |
| Clarke et al. | The long‐run performance of secondary equity issues: A test of the windows of opportunity hypothesis | |
| Sias | Reconcilable differences: Momentum trading by institutions | |
| Shum et al. | Leveraged and inverse ETF performance during the financial crisis | |
| Carter et al. | Characterizing the risk of IPO long‐run returns: the impact of momentum, liquidity, skewness, and investment | |
| Arora | Risk-adjusted performance evaluation of Indian mutual fund schemes | |
| Henriksen | Properties of long/short commodity indices in stock and bond portfolios | |
| Ackert et al. | Institutional investors, analyst following, and the January anomaly | |
| Ranjan Dash et al. | Conditional multifactor asset pricing model and market anomalies | |
| Hiang Liow et al. | Interest rate risk and time‐varying excess returns for Asian property stocks | |
| Blume et al. | Changing institutional preferences for stocks: Direct and indirect evidence | |
| Hameed et al. | Slow trading and stock return predictability | |
| Daniels et al. | The valuation impact of financial advisors: An empirical analysis of REIT mergers and acquisitions | |
| Özerol et al. | Determining the performance of individual investors: the predictive roles of demographic variables and trading strategies | |
| Fletcher | An empirical examination of the diversification benefits of UK international equity closed-end funds | |
| Huang | Mechanisms of overpricing: An investigation on momentum crashes | |
| Chang et al. | Do ETFs outperform CEFs in fixed income investing? | |
| Caglayan et al. | Disagreement between hedge funds and other institutional investors and the cross‐section of expected stock returns |