TY - JOUR
T1 - Institutional trading and asset pricing
AU - Frijns, Bart
AU - Huynh, Thanh D.
AU - Tourani-Rad, Alireza
AU - Westerholm, P. Joakim
PY - 2018/4/1
Y1 - 2018/4/1
N2 - This paper examines whether the trading activity of different investor types, institutional versus retail, can affect the relation between beta and average returns. We find that the beta-return relation is strong and positive on days with high institutional trading activity, and negative and significant on low institutional trading days. Our findings are robust and not driven by recently documented effects such as macroeconomic news and leverage constraints, among others. The evidence is consistent with the hypothesis that the preferences and characteristics of various investor types, which are revealed through their trading activity, cause the slope of the Security Market Line to change.
AB - This paper examines whether the trading activity of different investor types, institutional versus retail, can affect the relation between beta and average returns. We find that the beta-return relation is strong and positive on days with high institutional trading activity, and negative and significant on low institutional trading days. Our findings are robust and not driven by recently documented effects such as macroeconomic news and leverage constraints, among others. The evidence is consistent with the hypothesis that the preferences and characteristics of various investor types, which are revealed through their trading activity, cause the slope of the Security Market Line to change.
KW - CAPM
KW - Institutional trading
KW - Intermediary asset pricing
KW - Investor preferences
UR - http://www.scopus.com/inward/record.url?scp=85044655342&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2018.01.018
DO - 10.1016/j.jbankfin.2018.01.018
M3 - Article
AN - SCOPUS:85044655342
VL - 89
SP - 59
EP - 77
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
ER -