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Investors’ Horizons and the Amplification of Market Shocks

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Cited by:

  1. Dang, Tung Lam & Moshirian, Fariborz & Zhang, Bohui, 2019. "Liquidity shocks and institutional investors," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 184-209.
  2. Ignashkina, Anna & Rinne, Kalle & Suominen, Matti, 2022. "Short-term reversals, returns to liquidity provision and the costs of immediacy," Journal of Banking & Finance, Elsevier, vol. 138(C).
  3. Stefano Ramelli & Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2018. "Investor Rewards to Climate Responsibility: Evidence from the 2016 Climate Policy Shock," NBER Working Papers 25310, National Bureau of Economic Research, Inc.
  4. Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(1), pages 15-33, March.
  5. Garel, Alexandre & Petit-Romec, Arthur & Vennet, Rudi Vander, 2022. "Institutional Shareholders and Bank Capital," Journal of Financial Intermediation, Elsevier, vol. 50(C).
  6. Alexandre Garel & Arthur Petit-Romec, 2021. "Engaging Employees for the Long Run: Long-Term Investors and Employee-Related CSR," Journal of Business Ethics, Springer, vol. 174(1), pages 35-63, November.
  7. Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2018. "Speculation and Price Indeterminacy in Financial Markets: An Experimental Study," Cowles Foundation Discussion Papers 2134R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2020.
  8. Lin, Jing & An, Yunbi & Yang, Jun & Liang, Yinhe, 2019. "Price inversion and post lock-up period returns on private investments in public equity in China: An interest transfer perspective," Journal of Corporate Finance, Elsevier, vol. 54(C), pages 47-84.
  9. Avramov, Doron & Li, Minwen & Wang, Hao, 2021. "Predicting corporate policies using downside risk: A machine learning approach," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 1-26.
  10. Marco Airaudo & Salvatore Nisticò & Luis‐Felipe Zanna, 2015. "Learning, Monetary Policy, and Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1273-1307, October.
  11. Bruno Maria Parigi & Loriana Pelizzon & Ernst-Ludwig von Thadden, 2013. "Stock Market Returns, Corporate Governance and Capital Market Equilibrium," CESifo Working Paper Series 4496, CESifo.
  12. Airaudo, Marco & Cardani, Roberta & Lansing, Kevin J., 2013. "Monetary policy and asset prices with belief-driven fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1453-1478.
  13. Anufriev, Mikhail & Chernulich, Aleksei & Tuinstra, Jan, 2022. "Asset price volatility and investment horizons: An experimental investigation," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 19-48.
  14. Tanaka, Yoshitaka & Managi, Shunsuke, 2023. "Attention-Grabbing ESG," MPRA Paper 116786, University Library of Munich, Germany.
  15. Chang, Xiaochen & Guo, Songlin & Huang, Junkai, 2022. "Kidnapped mutual funds: Irrational preference of naive investors and fund incentive distortion," International Review of Financial Analysis, Elsevier, vol. 83(C).
  16. Jean-Edouard Colliard, 2017. "Catching Falling Knives: Speculating on Liquidity Shocks," Management Science, INFORMS, vol. 63(8), pages 2573-2591, August.
  17. Petri Jylhä & Kalle Rinne & Matti Suominen, 2014. "Do Hedge Funds Supply or Demand Liquidity?," Review of Finance, European Finance Association, vol. 18(4), pages 1259-1298.
  18. Vives, Xavier & Cespa, Giovanni, 2011. "Expectations, Liquidity, and Short-term Trading," CEPR Discussion Papers 8303, C.E.P.R. Discussion Papers.
  19. Jeffrey Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan Stuart, 2016. "Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock," NBER Working Papers 22209, National Bureau of Economic Research, Inc.
  20. Mariassunta Giannetti & Xiaoyun Yu, 2021. "Adapting to Radical Change: The Benefits of Short-Horizon Investors," Management Science, INFORMS, vol. 67(7), pages 4032-4055, July.
  21. Stavros Peristiani & Vanessa Savino, 2011. "Are credit default swaps associated with higher corporate defaults?," Staff Reports 494, Federal Reserve Bank of New York.
  22. Anand, Amber & Irvine, Paul & Puckett, Andy & Venkataraman, Kumar, 2013. "Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 108(3), pages 773-797.
  23. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2021. "Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4441-4461, July.
  24. Jagannathan, Ravi & Pelizzon, Loriana & Schaumburg, Ernst & Sherman, Mila Getmansky & Yuferova, Darya, 2022. "Recovery from fast crashes: Role of mutual funds," Journal of Financial Markets, Elsevier, vol. 59(PB).
  25. Baumann, Michael Heinrich & Herz, Bernhard & Baumann, Michaela, 2018. "Exchange-traded Funds, Investment Strategies, and Financial Stability," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181542, Verein für Socialpolitik / German Economic Association.
  26. Arif Billah Dar & Niyati Bhanja & Aviral Kumar Tiwari, 2017. "Do global financial crises validate assertions of fractal market hypothesis?," International Economics and Economic Policy, Springer, vol. 14(1), pages 153-165, January.
  27. Ferhat Akbas & Chao Jiang & Paul D. Koch, 2020. "Insider Investment Horizon," Journal of Finance, American Finance Association, vol. 75(3), pages 1579-1627, June.
  28. Martijn A. Boermans & Robert Vermeulen, 2020. "International investment positions revisited: Investor heterogeneity and individual security characteristics," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 466-496, May.
  29. Allaire, Nolwenn & Breckenfelder, Johannes & Hoerova, Marie, 2023. "Fund fragility: the role of investor base," Working Paper Series 2874, European Central Bank.
  30. Callen, Jeffrey L. & Fang, Xiaohua, 2013. "Institutional investor stability and crash risk: Monitoring versus short-termism?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3047-3063.
  31. Da‐Hea Kim, 2022. "Investment horizon and option market activity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 923-958, May.
  32. Hirota, Shinichi & Huber, Juergen & Stöckl, Thomas & Sunder, Shyam, 2022. "Speculation, money supply and price indeterminacy in financial markets: An experimental study," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1275-1296.
  33. Giovanni Cespa & Xavier Vives, 2015. "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, vol. 70(5), pages 2099-2154, October.
  34. Switzer, Lorne N. & Wang, Jun, 2017. "Institutional investment horizon, the information environment, and firm credit risk," Journal of Financial Stability, Elsevier, vol. 29(C), pages 57-71.
  35. Siegmann, Arjen & Stefanova, Denitsa, 2017. "The evolving beta-liquidity relationship of hedge funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 286-303.
  36. Chen, Jiun-Lin & Sanger, Gary C. & Song, Wei-Ling, 2019. "The relationship insurance role of financial conglomerates: Evidence from earnings announcements," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 505-527.
  37. Timmer, Yannick, 2018. "Cyclical investment behavior across financial institutions," Journal of Financial Economics, Elsevier, vol. 129(2), pages 268-286.
  38. Stefano Ramelli & Alexander F Wagner & Richard J Zeckhauser & Alexandre Ziegler, 2021. "Investor Rewards to Climate Responsibility: Stock-Price Responses to the Opposite Shocks of the 2016 and 2020 U.S. Elections [Asset pricing with liquidity risk]," Review of Corporate Finance Studies, Oxford University Press, vol. 10(4), pages 748-787.
  39. Andy Lardon & Christof Beuselinck & Marc Deloof, 2019. "Does stable ownership create value? Evidence from the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 573-642, February.
  40. Wenzhi Ding & Ross Levine & Chen Lin & Wensi Xie, 2022. "Competition laws, ownership, and corporate social responsibility," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 53(8), pages 1576-1602, October.
  41. Teeple, Keisuke, 2023. "Level-k predatory trading," Journal of Mathematical Economics, Elsevier, vol. 106(C).
  42. Rösch, Dominik M. & Subrahmanyam, Avanidhar & van Dijk, Mathijs A., 2022. "Investor short-termism and real investment," Journal of Financial Markets, Elsevier, vol. 59(PB).
  43. Pinkus, David & Pozzoli, Dario & Schneider, Cédric, 2024. "Pension Fund Investment and Firm Innovation," Working Papers 1-2024, Copenhagen Business School, Department of Economics.
  44. Dyck, Alexander & Lins, Karl V. & Roth, Lukas & Wagner, Hannes F., 2019. "Do institutional investors drive corporate social responsibility? International evidence," Journal of Financial Economics, Elsevier, vol. 131(3), pages 693-714.
  45. Gunther Capelle-Blancard, 2017. "À quoi servent les (centaines de milliers de milliards de) transactions boursières ?," Revue d'économie financière, Association d'économie financière, vol. 0(3), pages 37-58.
  46. Massimiliano Affinito & Raffaele Santioni, 2021. "When the panic broke out: COVID-19 and investment funds' portfolio rebalancing around the world," Temi di discussione (Economic working papers) 1342, Bank of Italy, Economic Research and International Relations Area.
  47. Garel, Alexandre & Petit-Romec, Arthur, 2017. "Bank capital in the crisis: It's not just how much you have but who provides it," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 152-166.
  48. Chernenko, Sergey & Sunderam, Adi, 2020. "Do fire sales create externalities?," Journal of Financial Economics, Elsevier, vol. 135(3), pages 602-628.
  49. Du, Brian & Serrano, Alejandro & Vianna, Andre, 2021. "Short-term institutions’ information advantage and overvaluation," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  50. Guan, Ruiqi & Jacoby, Gady & Lu, Xiaomeng & Wan, Fang & Zhang, Qi, 2023. "Trauma and investment horizon: Evidence from a representative China equity investor behavior survey," Finance Research Letters, Elsevier, vol. 57(C).
  51. Sergey Chernenko & Adi Sunderam, 2018. "Do Fire Sales Create Externalities?," NBER Working Papers 25104, National Bureau of Economic Research, Inc.
  52. Fong, Tom Pak Wing & Sze, Angela Kin Wan & Ho, Edmund Ho Cheung, 2022. "Do long-term institutional investors contribute to financial stability? – Evidence from equity investment in Hong Kong and international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  53. Harford, Jarrad & Kecskés, Ambrus & Mansi, Sattar, 2018. "Do long-term investors improve corporate decision making?," Journal of Corporate Finance, Elsevier, vol. 50(C), pages 424-452.
  54. Pathan, Shams & Haq, Mamiza & Faff, Robert & Seymour, Trent, 2021. "Institutional investor horizon and bank risk-taking," Journal of Corporate Finance, Elsevier, vol. 66(C).
  55. Ward, Charles & Yin, Chao & Zeng, Yeqin, 2018. "Institutional investor monitoring motivation and the marginal value of cash," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 49-75.
  56. Wang, Xiaoqiong & Wei, Siqi, 2021. "Does the investment horizon of institutional investors matter for stock liquidity?," International Review of Financial Analysis, Elsevier, vol. 74(C).
  57. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2017. "The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment," CEPR Discussion Papers 12486, C.E.P.R. Discussion Papers.
  58. Benkraiem, Ramzi & Goutte, Stéphane & Saadi, Samir & Zhu, Hui & Zhu, Steven, 2022. "Investor heterogeneity and negative skewness in stock returns: Evidence from institutional investors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  59. Beetsma, Roel & Jensen, Svend E. Hougaard & Pinkus, David & Pozzoli, Dario, 2024. "Do Pension Fund Equity Investments Raise Firm Productivity? Evidence From Danish Data," Working Papers 2-2024, Copenhagen Business School, Department of Economics.
  60. Cella, Cristina, 2020. "Institutional investors and corporate investment," Finance Research Letters, Elsevier, vol. 32(C).
  61. Kolokolova, Olga & Lin, Ming-Tsung & Poon, Ser-Huang, 2020. "Too big to ignore? Hedge fund flows and bond yields," Journal of Banking & Finance, Elsevier, vol. 112(C).
  62. Yin, Chao & Ward, Charles & Tsolacos, Sotiris, 2018. "Motivated monitoring: The importance of the institutional investment horizon," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 197-212.
  63. Lu, Erin P. & Lai, Gene C. & Ma, Qingzhong, 2017. "Organizational structure, risk-based capital requirements, and the sales of downgraded bonds," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 51-68.
  64. Wagner, Wolf & Bongaerts, Dion & Mazzola, Francesco, 2021. "Fire Sale Risk and Credit," CEPR Discussion Papers 15798, C.E.P.R. Discussion Papers.
  65. David Kreitmeir & Nathan Lane & Paul A. Raschky, 2020. "The Value of Names - Civil Society, Information, and Governing Multinationals on the Global Periphery," SoDa Laboratories Working Paper Series 2020-10, Monash University, SoDa Laboratories.
  66. Itzhak Ben‐David & Francesco Franzoni & Rabih Moussawi, 2018. "Do ETFs Increase Volatility?," Journal of Finance, American Finance Association, vol. 73(6), pages 2471-2535, December.
  67. Persakis, Antonios & Iatridis, George Emmanuel, 2023. "How economic uncertainty influences the performance of investor perceptions and behavior," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 51(C).
  68. Jia, Xue, 2016. "On the role of information disclosures in capital markets," Other publications TiSEM 9bacfbaa-2162-49fe-92e6-5, Tilburg University, School of Economics and Management.
  69. Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
  70. Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad, 2012. "Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 743-765.
  71. Garel, Alexandre & Petit-Romec, Arthur, 2021. "Investor rewards to environmental responsibility: Evidence from the COVID-19 crisis," Journal of Corporate Finance, Elsevier, vol. 68(C).
  72. Senthil Kumar Muthusamy & Ramadevi Kannan, 2023. "Profits crisis: evolving patterns of firm size and performance in traditional U.S. industries," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 50(3), pages 575-603, September.
  73. Wagner, Alexander F. & Glossner, Simon & Matos, Pedro Pinto & Ramelli, Stefano, 2022. "Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19," CEPR Discussion Papers 15070, C.E.P.R. Discussion Papers.
  74. Matthew C. Chang & Chih‐Ling Tsai & Rebecca Chung‐Fern Wu & Ning Zhu, 2018. "Market uncertainty and market orders in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 865-880, August.
  75. Alexandre Garel & Arthur Petit-Romec, 2020. "Investor Horizons and Employee Satisfaction: A test of the long-term perspective vision of CSR," Economics Bulletin, AccessEcon, vol. 40(1), pages 765-781.
  76. Jiao, Yawen & Ye, Pengfei, 2014. "Mutual fund herding in response to hedge fund herding and the impacts on stock prices," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 131-148.
  77. Garel, Alexandre & Martín-Flores, José M. & Petit-Romec, Arthur, 2020. "Stock market listing and the persistence of bank performance across crises," Journal of Banking & Finance, Elsevier, vol. 118(C).
  78. Zhichuan Frank Li & Saurin Patel & Srikanth Ramani, 2021. "The Role of Mutual Funds in Corporate Social Responsibility," Journal of Business Ethics, Springer, vol. 174(3), pages 715-737, December.
  79. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
  80. Charles W. Calomiris & Inessa Love & Maria Soledad Martinez Peria, 2010. "Crisis "Shock Factors" and the Cross-Section of Global Equity Returns," NBER Working Papers 16559, National Bureau of Economic Research, Inc.
  81. Alexandre Garel & Arthur Petit-Romec, 2021. "Investor rewards to environmental responsibility: Evidence from the COVID-19 crisis," Post-Print hal-03204216, HAL.
  82. Zhou, Fangzhao & Zhu, Jichen & Qi, Yawei & Yang, Jun & An, Yunbi, 2021. "Multi-dimensional corporate social responsibilities and stock price crash risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 78(C).
  83. Alexander M. Chinco & Mao Ye, 2017. "Investment-Horizon Spillovers," NBER Working Papers 23650, National Bureau of Economic Research, Inc.
  84. Xiaoqiong Wang & Siqi Wei & Xiaoyang Zhu, 2024. "Economic policy uncertainty and heterogeneous institutional investor horizons," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 39-67, January.
  85. Ghaly, Mohamed & Dang, Viet Anh & Stathopoulos, Konstantinos, 2020. "Institutional investors' horizons and corporate employment decisions," Journal of Corporate Finance, Elsevier, vol. 64(C).
  86. Beber, Alessandro & Driessen, Joost & Neuberger, Anthony & Tuijp, Patrick, 2021. "Pricing Liquidity Risk with Heterogeneous Investment Horizons," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(2), pages 373-408, March.
  87. Hang Nguyen & Roger Calantone & Ranjani Krishnan, 2020. "Influence of Social Media Emotional Word of Mouth on Institutional Investors’ Decisions and Firm Value," Management Science, INFORMS, vol. 66(2), pages 887-910, February.
  88. Paul Calluzzo & Fabio Moneta & Selim Topaloglu, 2019. "When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?," Management Science, INFORMS, vol. 65(10), pages 4555-4574, October.
  89. Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2011. "ETFs, Arbitrage, and Contagion," Working Paper Series 2011-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  90. Doron Avramov & Si Cheng & Lior Metzker, 2023. "Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability," Management Science, INFORMS, vol. 69(5), pages 2587-2619, May.
  91. Nick Guest & S. P. Kothari & Eric So, 2023. "Flight to Earnings: The Role of Earnings in Periods of Capital Scarcity," Management Science, INFORMS, vol. 69(8), pages 4908-4931, August.
  92. Che, Limei, 2018. "Investor types and stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 139-161.
  93. Walter I. Boudry & Robert A. Connolly & Eva Steiner, 2022. "What happens during flight to safety: Evidence from public and private real estate markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 147-172, March.
  94. Christopher M Wray & Steven R Bishop, 2016. "A Financial Market Model Incorporating Herd Behaviour," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-28, March.
  95. Kim, Donghan & Kim, Hyun-Dong & Joe, Denis Yongmin & Oh, Ji Yeol Jimmy, 2021. "Institutional investor heterogeneity and market price dynamics: Evidence from investment horizon and portfolio concentration," Journal of Financial Markets, Elsevier, vol. 54(C).
  96. Azizjon Alimov, 2021. "Does product market competition discipline managers? Evidence from exogenous trade shock and corporate acquisitions," Working Papers 2021-ACF-05, IESEG School of Management.
  97. Zalewska, Anna (Ania) & Zhang, Yue, 2020. "Mutual funds' exits, financial crisis and Darwin," Journal of Corporate Finance, Elsevier, vol. 65(C).
  98. Joey W. Yang & Lewis May & John Gould, 2023. "Exchange‐traded fund ownership and underlying stock mispricing," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1417-1445, April.
  99. Jean-Noël Barrot, 2017. "Investor Horizon and the Life Cycle of Innovative Firms: Evidence from Venture Capital," Management Science, INFORMS, vol. 63(9), pages 3021-3043, September.
  100. Amin, Abu S. & Dutta, Shantanu & Saadi, Samir & Vora, Premal P., 2015. "Institutional shareholding and information content of dividend surprises: Re-examining the dynamics in dividend-reappearance era," Journal of Corporate Finance, Elsevier, vol. 31(C), pages 152-170.
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