Price informativeness and institutional ownership: evidence from Japan

Price informativeness and institutional ownership: evidence from Japan Using extensive intraday transaction and institutional ownership data of Japan, this study investigates the question of whether institutional ownership increases the extent to which equity prices reflect information about the firms’ fundamentals (the degree of price informativeness) and the roles played by various types of institutional investors. The results indicate that the presence of institutional investors, especially foreign institutions, increase the amount of information aggregated in the stock prices. Such relation is robust to various liquidity measures, possible presence of endogeneity in the ownership structure, and alternative measures of price informativeness. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Price informativeness and institutional ownership: evidence from Japan

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Publisher
Springer US
Copyright
Copyright © 2013 by Springer Science+Business Media New York
Subject
Economics / Management Science; Finance/Investment/Banking; Accounting/Auditing; Econometrics; Operations Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-013-0355-y
Publisher site
See Article on Publisher Site

Abstract

Using extensive intraday transaction and institutional ownership data of Japan, this study investigates the question of whether institutional ownership increases the extent to which equity prices reflect information about the firms’ fundamentals (the degree of price informativeness) and the roles played by various types of institutional investors. The results indicate that the presence of institutional investors, especially foreign institutions, increase the amount of information aggregated in the stock prices. Such relation is robust to various liquidity measures, possible presence of endogeneity in the ownership structure, and alternative measures of price informativeness.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Mar 13, 2013

References

  • Active institutional shareholders and costs of monitoring: evidence from executive compensation
    Almazan, A; Hartzell, JC; Starks, LT
  • Price discovery and trading after hours
    Barclay, MJ; Hendershott, T

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