The Sensitivity of Individual and Institutional Investors' Expectations to Changing Market Conditions: Evidence from Closed-End Funds

The Sensitivity of Individual and Institutional Investors' Expectations to Changing Market... This study investigates whether individual and institutional investors respond differently to changes in market conditions. Closed-end funds are the medium used to test the hypothesis because closed-end fund shares (held primarily by individual investors) and the underlying assets (held primarily by institutional investors) are claims to the same stream of distributions. The empirical results suggest that individual investors are more responsive than institutional investors to changes in market conditions. Moreover, although the response of institutional investors differs across stock and bond markets, we cannot reject the hypothesis that the additional sensitivity of individual investors' expectations is uniform across stock and bond markets. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

The Sensitivity of Individual and Institutional Investors' Expectations to Changing Market Conditions: Evidence from Closed-End Funds

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 1997 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1008262905223
Publisher site
See Article on Publisher Site

Abstract

This study investigates whether individual and institutional investors respond differently to changes in market conditions. Closed-end funds are the medium used to test the hypothesis because closed-end fund shares (held primarily by individual investors) and the underlying assets (held primarily by institutional investors) are claims to the same stream of distributions. The empirical results suggest that individual investors are more responsive than institutional investors to changes in market conditions. Moreover, although the response of institutional investors differs across stock and bond markets, we cannot reject the hypothesis that the additional sensitivity of individual investors' expectations is uniform across stock and bond markets.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Sep 29, 2004

References

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