The Granular Nature of Large Institutional Investors
Published Online:30 Apr 2021https://doi.org/10.1287/mnsc.2020.3808
References
- (2006) Large sample properties of matching estimators for average treatment effects. Econometrica 74(1):235–267.Crossref, Google Scholar
- (2012) The network origins of aggregate fluctuations. Econometrica 80(5):1977–2016.Crossref, Google Scholar
- (2017) Do ETFs increase the commonality in liquidity of underlying stocks? Working paper, Villanova University, Villanova, PA.Google Scholar
- (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Finance Marketing 5(1):31–56.Crossref, Google Scholar
- (2013) Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis. J. Financial Econom. 108(3):557–598.Crossref, Google Scholar
- (2014) Connected stocks. J. Finance 69(3):1099–1128.Crossref, Google Scholar
- (2012) Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy. J. Financial Econom. 103(3):570–587.Crossref, Google Scholar
- (2018) Cross-asset information synergy in mutual fund families. Working paper, Georgetown University, Washington, DC.Google Scholar
- (2017) Anti-competitive effects of common ownership. J. Finance 73(4):1513–1565.Crossref, Google Scholar
- (2003) Style investing. J. Financial Econom. 68(2):161–199.Crossref, Google Scholar
- (2012) Hedge funds stock trading during the financial crisis of 2007–2009. Rev. Financial Stud. 25(1):1–54.Crossref, Google Scholar
- (2017) Exchange-traded funds. Annual Rev. Financial Econom. 9(1):169–189.Crossref, Google Scholar
- (2018) Do ETFs increase volatility? J. Finance 73(6):2471–2535.Crossref, Google Scholar
- (2013) Do hedge funds manipulate stock prices? J. Finance 69(6):2383–2434.Crossref, Google Scholar
- (2020) Advice-driven demand and systematic price fluctuations. Working paper, The Ohio State University, Columbus, OH.Google Scholar
- (2013) Conflicting family values in mutual fund families. J. Finance 68(1):173–200.Crossref, Google Scholar
- (2009) Shocks at large banks and banking sector distress: The banking granular residual. J. Financial Stability 5(4):353–373.Crossref, Google Scholar
- (2019) Should we use closing prices? Institutional price pressure at the close. Working paper, Boston College, Chestnut Hill, MA.Google Scholar
- (2018) Big banks and macroeconomic outcomes: Theory and cross-country evidence of granularity. J. Money Credit Banking 50(8):1785–1825.Crossref, Google Scholar
- (2016) Mutual fund flows and cross‐fund learning within families. J. Finance 71(1):383–424.Crossref, Google Scholar
- (2008) Market liquidity and funding liquidity. Rev. Financial Stud. 22(6):2201–2238.Crossref, Google Scholar
- (2000) Corporate disclosure practices, institutional investors, and stock return volatility. J. Accounting Res. 38:171–202.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
- (2004) Does one Soros make a difference? A theory of currency crises with large and small traders. Rev. Econom. Stud. 71(1):87–113.Crossref, Google Scholar
- (2007) Asset fire sales (and purchases) in equity markets. J. Financial Econom. 86(2):479–512.Crossref, Google Scholar
- (1997) Measuring mutual fund performance with characteristic-based benchmarks. J. Finance 52(3):1035–1058.Crossref, Google Scholar
- (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
- Financial Stability Board (2015) Assessment methodologies for identifying non-bank non-insurer global systemically important financial institutions. Accessed October 23, 2020, https://www.fsb.org/2015/03/assessment-methodologies-for-identifying-non-bank-non-insurer-global-systemically-important-financial-institutions/.Google Scholar
- (2012) Trading costs of asset pricing anomalies. Working paper, University of Chicago, Chicago.Google Scholar
- (2011) The granular origins of aggregate fluctuations. Econometrica 79(3):733–772.Crossref, Google Scholar
- (2006) Institutional investors and stock market volatility. Quart. J. Econom. 121(2):461–504.Crossref, Google Scholar
- (2006) Favoritism in mutual fund families? Evidence on strategic cross‐fund subsidization. J. Finance 61(1):73–104.Crossref, Google Scholar
- (2016) Why invest in emerging markets? The role of conditional return asymmetry. J. Finance 71(5):2145–2192.Crossref, Google Scholar
- (2011) Stock price fragility. J. Financial Econom. 102(3):471–490.Crossref, Google Scholar
- (1988) Liquidity and market structure. J. Finance 43(3):617–633.Crossref, Google Scholar
- (2010) Stock market declines and liquidity. J. Finance 65(1):257–293.Crossref, Google Scholar
- (2005) Thy neighbor’s portfolio: Word-of-mouth effects in the holdings and trades of money managers. J. Finance 60(6):2801–2824.Crossref, Google Scholar
- (2018) Institutional trading and Abel Noser data. J. Corporate Finance 52:143–167.Crossref, Google Scholar
- (2008) The divergence of liquidity commonality in the cross-section of stocks. J. Financial Econom. 89(3):444–466.Crossref, Google Scholar
- (2012) Understanding commonality in liquidity around the world. J. Financial Econom. 105(1):82–112.Crossref, Google Scholar
- (2013) Firm volatility in granular networks. Working paper, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- (2016) Commonality in liquidity: A demand-side explanation. Rev. Financial Stud. 29(8):1943–1974.Crossref, Google Scholar
- (2019) A demand system approach to asset pricing. J. Political Econom. 127(4):1475–1515.Crossref, Google Scholar
- (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1335.Crossref, Google Scholar
- (2017) Banking integration and house price co-movement. J. Financial Econom. 125(1):1–25.Crossref, Google Scholar
- (2011) Institutional investors and the limits of arbitrage. J. Financial Econom. 102(1):62–80.Crossref, Google Scholar
- (2020) Who is afraid of BlackRock? Rev. Financial Stud. https://academic.oup.com/rfs/advance-article-abstract/doi/10.1093/rfs/hhaa081/5873592?redirectedFrom=fulltext.Google Scholar
- (2004) Family values and the star phenomenon. Rev. Financial Stud. 17(3):667–698.Crossref, Google Scholar
- Office of Financial Research, Department of the Treasury (2013) Asset management and financial stability. Accessed October 23, 2020, http://financialresearch.gov/reports/files/ofr_asset_management_and_financial_stability.pdf.Google Scholar
- (1996) Volatility and the institutional investor. Financial Analysts J. 52(2):13–20.Crossref, Google Scholar

