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Trading Performance Of Individual Institutional And Foreign Investors
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Book Synopsis Trading Performance of Individual, Institutional, and Foreign Investors by : Nareerat Taechapiroontong
Download or read book Trading Performance of Individual, Institutional, and Foreign Investors written by Nareerat Taechapiroontong and published by . This book was released on 2009 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines whether domestic investors outperform foreign investors by using transaction data from Stock Exchange of Thailand during 1999 to 2004. We find that foreign investors, in general, trade at worse price than domestic investors who have more information advantage. However, foreign investors perform best when buying mid-cap and large size stocks during the bull market which may be due to more experience and better access to research. Individual investors tend to follow contrarian trading strategy which leads them to act as the liquidity provider to institutions. The intense of trade imbalance can predict future returns. The intense of individuals selling occurring at peak price influences future negative return. The intense buying of foreign and institutional investors is followed by price increases.
Book Synopsis How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades? Evidence from Japan by : Kee-Hong Bae
Download or read book How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades? Evidence from Japan written by Kee-Hong Bae and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the gains and losses from equity trades of individual investors, various institutional investors, and foreign investors in the Tokyo Stock Exchange. We develop a trade-weighted performance measure and examine the impact of trading intervals, price spreads, and market timing on performance. We find that different investor types gain or lose from different sources. For example, we discover that individual investors have poor market timing ability but potentially gain during short-run trading intervals as their average sell price is consistently higher than the average purchase price. In contrast, we find that foreign investors consistently generate gains from trade due to good market timing, although their average sell price is lower than the average purchase price. Also, we find that foreign investors extract significant portion of their gains by trading against Japanese institutional investors when Japanese investors trade before their fiscal-year end.
Download or read book 'Other People's Money' written by Wei Lu and published by . This book was released on 2017 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: We utilize seventeen years of comprehensive daily portfolio and trading data identified at the individual investor level, to analyze the relative trading performance of the entire universe of households, all domestic financial institutions and all foreign institutions in the Finnish market. We introduce a new methodology we dub the “holding-period-invariant” (HPI) portfolio approach. The conventional calendar-time portfolio approach imposes a heroic assumption that all investors mechanically realize (i.e., trade) their portfolio at specified intervals corresponding to an assumed horizon. By contrast, our methodology is free of such bias and allows for the endogenous nature of investment timing decisions made by numerous informed households (and, for that matter, domestic institutions). Adopting a random informationless trading benchmark, we find that the households who choose to trade for themselves are economically and statistically superior traders, achieving an impressive internal rate of return of 42.84% p.a., or 0.0288% of traded value, when foreign institutions are their exclusive counterparty. (Domestic institutions trading with foreigners do even better at 51.8% p.a.). Our findings are contrary to some of the existing empirical literature on household investors derived from calendar-time portfolios. When we split households into informationally advantaged (i.e., located near Nokia) and disadvantaged, we find that while the former are the superior traders, both household groups continue to outperform foreign investors and Helsinki households outperform their domestic institutional rivals.
Book Synopsis Do Domestic Investors Have an Edge? by : Hyuk Choe
Download or read book Do Domestic Investors Have an Edge? written by Hyuk Choe and published by . This book was released on 2004 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We investigate whether domestic investors have an edge over foreign investors in trading domestic stocks.Using Korean data, we show that foreign money managers pay more than domestic money managers when they buy and receive less when they sell for medium and large trades. The sample average daily trade-weighted disadvantage of foreign money managers is of 21 basis points for purchases and 16 basis points for sales. There is also some evidence that domestic individual investors have an edge over foreign investors. The explanation for these results is that prices move more against foreign investors than against domestic investors before trades"--NBER website
Book Synopsis Two Essays on the Trading Behavior of Institutional Investors: The Cases in the Open-ending Closed-End Funds in Taiwan & in the Changes of Stocks in MSCI Taiwan Index by :
Download or read book Two Essays on the Trading Behavior of Institutional Investors: The Cases in the Open-ending Closed-End Funds in Taiwan & in the Changes of Stocks in MSCI Taiwan Index written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the reaction of trading behavior of investors, especially institutional investors, to the public information in Taiwan. Two kinds of public information are chosen in this dissertation. One is open-ending closed-end funds under the regulation set up by Taiwan authority. The other is the change of stocks in MSCI Taiwan Index that is decided by Morgan Stanley Capital International (MSCI), a well-known foreign institution in constructing various indices. Consistent with earlier studies using U.S. data, our results show that open-ending is a wealth-enhancing event for shareholders. We also provide evidence of the existence of noise traders in the closed-end fund market. The evidence is derived from the trading behavior of domestic institutional investors and small individual investors, who ignore price discounts when open-ending is imminent. The trading by noise traders impedes price adjustments to the discounts, and provides profit opportunities to arbitragers. Furthermore, we show that foreign investors gain considerable wealth, largely at the expense of domestic institutional investors and small individual investors, in the open-ending process. On average, their gains account for 30% of the total gains associated with open-ending, or NT$562 millions per case. On the issue of the change of stocks in MSCI Taiwan Index, we find that MSCI prefers to select the securities with good performance, high liquidity, and large firm size into MSCI Taiwan Index while tends to drop the securities with poor performance, lower liquidity, and small firm size from MSCI Taiwan Index. Besides, consistent with the previous studies, prices increase (decrease) significantly for stocks added to (deleted from) the MSCI Taiwan Index after the announcement date. As well as the deletions, the price decreases for unchanging stocks after the announcement date. However, there is no evidence to find that foreign investors have information advantage in MSCI news over domestic.
Book Synopsis Cracking the Emerging Markets Enigma by : G. Andrew Karolyi
Download or read book Cracking the Emerging Markets Enigma written by G. Andrew Karolyi and published by Oxford University Press, USA. This book was released on 2015 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cracking the Emerging Markets Enigma outlines a rigorous, comprehensive, and practical framework for evaluating the opportunities and, more importantly, the risks of investing in emerging markets. Built on a foundation of sound research on foreign direct and portfolio capital flows, Andrew Karolyi's proposed system of evaluation incorporates multiple dimensions of the potential risks faced by prospective investors in an empirically coherent framework.
Book Synopsis Institutional Investors by : E. Philip Davis
Download or read book Institutional Investors written by E. Philip Davis and published by MIT Press. This book was released on 2004-01-30 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the most important recent developments in financial markets is the institutionalization of saving associated with the growth of pension funds, life insurance companies, and mutual funds. An increasing proportion of household saving is now managed by professional portfolio managers instead of being directly invested in the securities markets or held in the form of bank deposits. With the aging of the population and its adverse impact on public pension systems, the shift of individual savings to institutional investors is likely to become even more marked in the coming years. This book provides a comprehensive economic assessment of institutional investment. It charts the development and performance of the asset management industry and analyzes the implications of rising institutionalized saving for the development of the securities trading industry, the financial sector as a whole, and the wider economy. The book draws extensively on international experience, particularly in the United States, Western Europe, and Japan.
Book Synopsis Portfolio Preferences of Foreign Institutional Investors by : Reena Aggarwal
Download or read book Portfolio Preferences of Foreign Institutional Investors written by Reena Aggarwal and published by World Bank Publications. This book was released on 2003 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stocks, Bonds, Bills, and Inflation by : Roger G. Ibbotson
Download or read book Stocks, Bonds, Bills, and Inflation written by Roger G. Ibbotson and published by . This book was released on 1989 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fool's Mate written by Reza Bradrania and published by . This book was released on 2015 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the short-term relation between individual investor trading and stock returns on the Australian Securities Exchange. Stocks heavily bought by individual investors underperform stocks heavily sold over the subsequent three days, with respective returns on to a long-short portfolio of -93, -67 and -12 basis points on days one, two, and three. Individuals lose on their passive orders, except in large stocks, for which they lose on aggressive orders. Foreign institutions gain from taking the opposite side of individual trades. We present a liquidity-based explanation for the findings.
Book Synopsis The Dynamics of Individual and Institutional Trading on the Shanghai Stock Exchange by : Bong-Soo Lee
Download or read book The Dynamics of Individual and Institutional Trading on the Shanghai Stock Exchange written by Bong-Soo Lee and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the daily relation between returns and the trading of Shanghai Stock Exchange 180 stocks by institutional and individual investors. We find that there is a positive relation between returns and the trading of institutions and individuals. Both individuals and institutions trade, buy, and sell more if past returns are high, although overall such activity is more strongly related to lagged trades than lagged returns. On the other hand, the institutional imbalance is negatively related to the lagged market returns, which implies that institutions tend to be contrarian traders. Second, we find that past individual trading has predictive power whereas past institutional trading only has a long-run predictive power for market returns. Institutional trading also Granger-causes the returns of the two large stock quintiles, and individual trading Granger-causes the returns of several of the small and medium-sized portfolios. Further analysis reveals that, trading of the individual investors is influenced more by trading of institutional investors, while trading of the institutional investors are mainly influenced by shocks from its past trading and shocks from market returns. Finally, we find that institutional trading in the largest quintile leads institutional trading in the smallest quintile, but no such lead-lag relation is found for individual trades. These results suggest that although individuals dominate trading within most of the quintiles, institutional trading, and especially the trading of large stocks, conveys more information and increases the speed of price adjustments.
Book Synopsis The Investment Performance and Trading Behavior of Institutional Investors by : Christo A. Pirinsky
Download or read book The Investment Performance and Trading Behavior of Institutional Investors written by Christo A. Pirinsky and published by . This book was released on 2001 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Institutional types differ in their trading decisions - banks, insurance companies, and investment advisors are more likely to act in conformity with their peers, corporate and state pension funds are not significantly influenced by previous institutional trades, while mutual funds exhibit contrarian behavior. Institutional investors further exhibit the tendency to target market weights. The results relate to a series of theoretical findings about herding and strategic trading in capital markets.
Book Synopsis Are Domestic Household Investors Better Performers Than Foreign Institutions? New Evidence from Finland by : Peter L. Swan
Download or read book Are Domestic Household Investors Better Performers Than Foreign Institutions? New Evidence from Finland written by Peter L. Swan and published by . This book was released on 2017 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We replicate and extend the methodology of Grinblatt and Keloharju (2000) to find that foreign institutional investors in Finland no longer achieve superior performance. This is despite their persistence in adopting 'positive-feedback' trading strategies. We find that individuals and households outperform over most horizons even though they adopt negative-feedback trading strategies. Foreign institutions appear to suffer from incentive and informational disadvantages. We conclude that the informationless strategy of buying past winners and selling past losers can no longer be associated with superior performance. Moreover, it is no longer correct to classify unambiguously household and individual investors as 'noise traders'
Book Synopsis Handbook of the Economics of Finance by : G. Constantinides
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
Book Synopsis Bank-based and Market-based Financial Systems by : Asl? Demirgüç-Kunt
Download or read book Bank-based and Market-based Financial Systems written by Asl? Demirgüç-Kunt and published by World Bank Publications. This book was released on 1999 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Information Acquisition and Dissemination of the Initial Public Offerings by : Ravi Lonkani
Download or read book Information Acquisition and Dissemination of the Initial Public Offerings written by Ravi Lonkani and published by . This book was released on 1999 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Herd Behavior in Financial Markets by : Sushil Bikhchandani
Download or read book Herd Behavior in Financial Markets written by Sushil Bikhchandani and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
