Weber, Rüdiger. 2019. Institutional Investors and the Time-Variation in Expected Stock Returns. DGF German Finance Association, Essen, Deutschland, 27.09.-28.09.

RIS

@CONFERENCE{Weber2019,
title = {Institutional Investors and the Time-Variation in Expected Stock Returns},
author = {Rüdiger Weber},
year = {2019},
address = {Essen},
url = {https://www.dgf2019.wiwi.uni-due.de/home/},
language = {EN},
misc = {DGF German Finance Association},
abstract = {I document a new stylized fact: the higher the share of institutional ownership in a stock, the more its price-dividend ratio is driven by discount rate variation rather than by changes in dividend growth expectations. Hence, the dividend-price ratio of stocks with high institutional ownership predicts returns. Conversely, for stocks held mostly by individual investors, returns are not predictable. As a general equilibrium outcome, return predictability crucially depends on the properties of the marginal investor. More strongly time-varying volatility in the marginal utility of institutions acting as marginal investors in the respective stocks provides a natural explanation for the observed pattern. In an equilibrium model, time-varying redemption risks generate the observed predictability patterns among a priori identical stocks. My findings help explain the weak return predictability of small and value stocks, the postwar predictability reversal, and the fact that dividend smoothing cannot explain that reversal.},
}