The determinants of institutional demand for common stock: Tests of the capm vs. individual stock attributes

Eakins, Stanley G.; Stansell, Stanley R.; Below, Scott D.

doi:10.1016/s1057-5219(96)90016-2

Cited by 6 publications

(3 citation statements)

References 24 publications

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“…One of the criticisms that has been directed against the Capital Asset Pricing Model is related to the symmetric character of the concept of risk underlying it (Eakins, Stansell and Below, 1996). 14 However, the results of surveys where corporate finance executives were asked about their appreciation of capital investment risk suggest that the perception of downwards risk, i.e.…”

Section: Appreciation Of Riskmentioning

confidence: 99%

Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data

Arnswald

2001

SSRN Journal

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In order to shed light on the "black box" of institutional equity investing in a systematic manner, I conducted a broadly based questionnaire which received a large response from German mutual fund companies. The survey asked fund managers for their basic views and practices and for insights into their company's performance-measurement and compensation incentives. It was possible to identify three core types of investors, labelled fundamentalists, tacticians and methodologists, in the data on investment behaviour.Common to all types is the primary aim of achieving above-average returns on investment with due allowance being made for sluggishness in the reaction of market prices to new information. Another universal feature of institutional equity investing turns out to be a heavy reliance on information sources which offer a means of confirmation and through which the contagions of fear and exuberance may be transmitted. In general fund managers exhibit a pronounced preference for "winner-type" and "spotlight" stocks as well. All investor groups recognise, in the first instance, underlying economic information as a source of superior value. However, a potential for exaggerated market dynamics is suggested by the fact that the mere arrival of news from corporations or analysts' earnings revisions is generally thought to impart as strong a market impulse as the perceived mispricing of stocks relative to the market or sector as such. Furthermore, those who appear to be best suited to conduct fundamental arbitrage are nevertheless likely to be constrained, to a sig-

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Section: Appreciation Of Riskmentioning

confidence: 99%

Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data

Arnswald

2001

SSRN Journal

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“…Eakins, Stansell and Below [10] examine the determinants of equity investment by institutional investors and find that they seek high beta stocks and avoid stocks with high nonsystematic risk. The result indicates that investors value the stock based on the attributes of individual firms, appear to be strongly influenced by measures of ex post market return and have an aversion to variance, skewness and kurtosis in returns.…”

Section: Review Of Literaturementioning

confidence: 99%

Determinants of Equity Investments by Long-Term Institutional Investors: Evidence from Brazil

Silva¹

2011

TOMANAJ

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This paper analyses the determinant factors of equity investments made by insurance companies, and pension funds. Brazil offers an interesting case study, because these institutional investors have a huge potential in increasing their equity investments in the future, because their investments in stocks nowadays are far below the limits imposed by regulators. Therefore, understanding what kind of companies these institutions would be willing to invest is important to help them on their efforts to attract these investors. Two kinds of analyses are performed. First, we use a logit model in order to estimate the probability for a given company to be in these investors' portfolios. Then we run regressions to analyze the determinants of the size of stock ownership of these investors in a given company. Our results indicate that these investors tend to invest in large, liquid, leveraged companies with good corporate governance practices.

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“…Patton and Timmermann (2010) tried to study, using the CAPM, if there is a monotonic relationship between the expected return of a financial asset and its associated risk. Eakins et al (1996) studied the position of institutional investors towards the classic CAPM assumptions. They found that institutional investors prefer to invest in shares with a greater beta to avoid stocks which have a higher unsystematic risk.…”

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confidence: 99%

Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components

Vintilă

Păunescu

2015

Annals of the Alexandru Ioan Cuza University - Economics

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We tested empirically through econometric methods the classic CAPM model for 15 shares listed on the NASDAQ market in United States of America. The results showed that, for the majority of shares, there is a linear relation between expected return and market return. The shares of the largest companies from sample (AAPL, MSFT, GOOGL, etc. INTC) had a subunitary beta and the shares of smaller companies (ADBE, YHOO, BIDU etc.) had a beta greater than one. Compared with Security Market Line (SML) the shares were found to be overestimated and overstated and using GARCH-VECH model we identified the presence of high correlation between shares and the volatility spillover phenomenon.

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The determinants of institutional demand for common stock: Tests of the capm vs. individual stock attributes

Cited by 6 publications

References 24 publications

Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data

Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data

Determinants of Equity Investments by Long-Term Institutional Investors: Evidence from Brazil

Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components

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