The Granular Nature of Large Institutional Investors

Abstract

helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

A Demand System Approach to Asset Pricing

“…Unfortunately, the new version has missing data between March 2011 and March 2013 because of migration to a new data feed (Wharton Research Data Services 2018). Therefore, we use the previous version of the data on the WRDS SFTP archive prior to June 2013, consistent withBen-David et al (2017).…”

Corporate debt, firm size and financial fragility in emerging markets

“…also proposed a version of the original Z-Score to account for different structural characteristics of emerging market firms; e.g. he replaces the market value of assets to16 Examples of papers in macroeconomics that have used Altman's measure includeBernanke and Campbell (1988), Corbae and D'Erasmo (2017), in international economics Agca and Celasun (2010), in financeFazzari, Hubbard, Petersen (1988),Graham, Li, Qui (2008), Van Binsbergen,Graham, Yang (2010),Acharya, Davydenko, Strebulaev (2011), Jacobson and Von Schedvin (2015),Ben-David, Franzoni, Moussawi, Sedunov (2016),De Angelo, Goncalvez, Stulz (2016), Bonaccorsi di Patti, Kashyap…”

Learning-by-doing and knowledge management in financial markets

“…and which allow for an assessment of the likely consequences of those strategies against the sponsoring institution's overall targets. 6 In these situations, it is often difficult for portfolio managers to make a premium over and above the costs of trading given that other portfolio managers trading in the same domain and employed by institutions that share similar rulebooks for investment decision-making tend to converge on the same strategies (Ben-David et al, 2016). In these situations, adding value over and above industry benchmarks is only possible if portfolio managers have better and/or faster access to market information than their peers (Shleifer, 2000).…”

“…Elsewhere, talent in the financial services industry is defined in terms of individuals' skill and expertise: skill is deemed to refer to domain-specific technical capabilities such as pattern recognition and the representation of financial data for investment strategy while expertise refers to individuals' knowledge and understanding of how financial markets work including how markets respond or could respond to endogenous and exogenous shocks (Clark, 2016, 171). Talented individuals in the global financial services industry are able to outperform their peers in circumstances where the widespread use of conventional rulebooks may convert a run on the market into a full-fledged financial crisis (Ben-David et al, 2016).…”

“…2 Financial organisations are often labelled and treated by governments as 'institutions'. Likewise, theorists also treat these organisations as institutions, being deemed fundamental to modern economies (Mayer and Vives, 1995;Ben-David et al, 2016). In many cases, financial institutions are organisations in the sense that they are established systems of financial coordination and management (cf.…”