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Please use this identifier to cite or link to this item: http://hdl.handle.net/1974/7056

Title: Three Essays on Institutional Investors
Authors: Zhong, LIGANG

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Keywords: short-sales constraints
investment horizon
corporate financing
earnings management
institutional investors
difference of opinion
Issue Date: 12-Apr-2012
Series/Report no.: Canadian theses
Abstract: In this dissertation, I investigate the impact of institutional investors on security prices and corporate policies, and offer a new perspective on the vital role that institutional investors play in the modern capital market. Specifically, on the impact on security price movements, I design a new measure of stock-level sentiment based on mutual fund publically disclosed portfolio information and provide a new dimension to better predict stock returns. A trading strategy based on the new sentiment metrics can generate an annualized alpha of 21.27%. The abnormal returns cannot be explained by the time-varying expected returns and transaction costs, and can be best explained by mutual fund overreactions. Hence, my findings can be interpreted as a new anomaly in a new era-when institutional investors are the marginal traders. On the impact on corporate policy side, I document two pieces of new empirical evidence on the importance of long-term institutional holdings: the entrenchment effect of long-term institutional holdings in the context of corporate financing decisions and the active monitoring role of long-term institutional investors in the context of international firms’ accounting qualities. Combined with previous studies which favour a long-term institutional investor, the evidence on the cost side of long-term holding I document here can serve as the first call for an optimal investment horizon for firms operating in the U.S.
Description: Thesis (Ph.D, Management) -- Queen's University, 2012-04-11 22:22:17.627
URI: http://hdl.handle.net/1974/7056
Appears in Collections:Management Graduate Theses
Queen's Theses & Dissertations

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