Institutional Investors and Financial Crisis
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We find that characteristics of stocks owned by institutional investors are changed after the 2007-2008 financial crisis, by analyzing institutional investors that have been reported on the filings of SEC’s Form 13F from 2005 to 2011. We find that before the crisis institutional investors prefer stocks with low past volatility. However, we find no such patterns or even opposite patterns after the crisis. Consistent with previous literature, we confirm they consistently have a strong preference for large, liquid, and under-valued stocks before and after the crisis. However, we find that this preference is statistically weak in the middle of financial crisis.
Abstract
We find that characteristics of stocks owned by institutional investors are changed after the 2007-2008 financial crisis, by analyzing institutional investors that have been reported on the filings of SEC’s Form 13F from 2005 to 2011. We find that before the crisis institutional investors prefer stocks with low past volatility. However, we find no such patterns or even opposite patterns after the crisis. Consistent with previous literature, we confirm they consistently have a strong preference for large, liquid, and under-valued stocks before and after the crisis. However, we find that this preference is statistically weak in the middle of financial crisis.
참고문헌 (25)
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