Investor Heterogeneity and Liquidity

被引：9

作者：

Chan, Kalok ^{[1
]}

Cheng, Si ^{[2
]}

Hameed, Allaudeen ^{[3
]}

机构：

[1] Chinese Univ Hong Kong, CUHK Business Sch, Hong Kong, Peoples R China

[2] Syracuse Univ, Whitman Sch Management, Syracuse, NY 13244 USA

[3] Natl Univ Singapore, NUS Business Sch, Singapore, Singapore

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2022年 / 57卷 / 07期

关键词：

TRADING ACTIVITY; DISAPPEARING DIVIDENDS; CROSS-SECTION; STOCK RETURNS; MARKET; OWNERSHIP; RISK; ILLIQUIDITY; HORIZONS; SALES;

D O I：

10.1017/S0022109022000217

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Fund flows are more correlated among funds with similar investment horizon, consistent with correlated demand for liquidity. We find that stocks held by institutions with more heterogeneous investment horizon are more liquid and have lower volatility of liquidity. Identification tests confirm that the improvement in stock liquidity holds when the increase in investor heterogeneity arises from an exogenous shock due to the 2003 tax reform. In addition, extreme flow-induced trading by institutional funds has a bigger price impact when stocks have a less heterogeneous investor base. Moreover, the premium associated with stock illiquidity is concentrated in stocks with low investor heterogeneity.

引用

页码：2798 / 2833

页数：36

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