TY - JOUR
T1 - Liquidity risk and institutional ownership
AU - Cao, Charles
AU - Petrasek, Lubomir
PY - 2014/11/1
Y1 - 2014/11/1
N2 - Institutional ownership affects the sensitivity of stock returns to changes in market liquidity (liquidity risk). Overall, institutional ownership lowers the liquidity risk of stocks. However, different types of institutions affect liquidity risk in opposite ways. Stocks held by hedge funds, especially levered hedge funds, as marginal investors are more sensitive to changes in market liquidity than comparable stocks held by other types of institutions or by individuals. In contrast, stocks held by banks are less sensitive to changes in aggregate liquidity. These findings are robust to alternative specifications that control for institutional preferences for different stock characteristics and risk.
AB - Institutional ownership affects the sensitivity of stock returns to changes in market liquidity (liquidity risk). Overall, institutional ownership lowers the liquidity risk of stocks. However, different types of institutions affect liquidity risk in opposite ways. Stocks held by hedge funds, especially levered hedge funds, as marginal investors are more sensitive to changes in market liquidity than comparable stocks held by other types of institutions or by individuals. In contrast, stocks held by banks are less sensitive to changes in aggregate liquidity. These findings are robust to alternative specifications that control for institutional preferences for different stock characteristics and risk.
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U2 - 10.1016/j.finmar.2014.05.001
DO - 10.1016/j.finmar.2014.05.001
M3 - Article
AN - SCOPUS:85027938883
SN - 1386-4181
VL - 21
SP - 76
EP - 97
JO - Journal of Financial Markets
JF - Journal of Financial Markets
ER -