Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Which institutional investor types are the most informed?

Which institutional investor types are the most informed? We examine the informativeness of quarterly disclosed portfolio holdings across four institutional investor types: hedge funds, mutual funds, pension funds and private banking firms. Overweight positions outperform underweight positions only for hedge funds. By decomposing holdings and stock returns, we find that hedge funds are superior to other institutional investors both at picking industries and stocks and that they are better at forecasting long‐term as well as short‐term returns. Furthermore, our results show that hedge funds, mutual funds and pension funds are able to successfully time the market. The outperformance of hedge funds is not explained by a liquidity premium. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

Which institutional investor types are the most informed?

Loading next page...
 
/lp/wiley/which-institutional-investor-types-are-the-most-informed-yjXsgsgtsy

References (61)

Publisher
Wiley
Copyright
"Accounting and Finance © 2019 AFAANZ"
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/acfi.12378
Publisher site
See Article on Publisher Site

Abstract

We examine the informativeness of quarterly disclosed portfolio holdings across four institutional investor types: hedge funds, mutual funds, pension funds and private banking firms. Overweight positions outperform underweight positions only for hedge funds. By decomposing holdings and stock returns, we find that hedge funds are superior to other institutional investors both at picking industries and stocks and that they are better at forecasting long‐term as well as short‐term returns. Furthermore, our results show that hedge funds, mutual funds and pension funds are able to successfully time the market. The outperformance of hedge funds is not explained by a liquidity premium.

Journal

Accounting & FinanceWiley

Published: Apr 1, 2019

Keywords: ; ; ; ;

There are no references for this article.