The Determinants of Institutional Demand for Common Stock : Tests of the CAPM vs Individual Stock Attributes  

Oleh:

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

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS vol. 5 no. 3 (1996), page 237-258.
Topik: demand; determinants; institutional demand; common stock; individual stock attributes

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II7 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This study examines the determinants of institutional investment demand for common stock. We first estimate the demand function for seven classes of institutions using mean return and CAPM risk measures (beta and standard error). We then estimate the demand function for the same seven institutional classes using the first four moments of the returns distribution calculated in the conventional fashion on individual stocks. Our objective is to determine whether institutional investment decisions are influenced by the CAPM model attributes or by individual stock attributes. We find that institutional investors appear to aggressively seek high beta stocks and to avoid stocks with high unsystematic risk. Our results indicate that institutional investors evaluate stocks on the basis of individual attributes. Institutional investors appear to be strongly influenced by ex post measures of market returns and are averse to variance, skewness and kurtosis in returns.

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