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Using geographically proximate institutions as a close approximation to informed investors, this paper examines the informational role of institutional investors in stock markets. We find that both the level of and change in local institutional ownership predict future stock returns; in contrast, such predictive abilities are relatively weak for nonlocal(More)
In this paper we generalize Harvey’s (1989) empirical specification of conditional asset pricing models to allow for both time-varying covariances between stock returns and marketwide factors and time-varying reward-to-covariabilities. The model is then applied to examine the effects of firm size and book-to-market equity ratios. We find that the(More)
Theoretically, the implied cost of capital (ICC ) is a good proxy for time-varying expected returns. We find that aggregate ICC strongly predicts future excess market returns at horizons ranging from one month to four years. This predictive power persists even in the presence of popular valuation ratios and business cycle variables, both in-sample and(More)
This study investigates whether the widely documented daily correlated trading volume of stocks is driven by individual investor trading, institutional trading, or both. We find that at least 95% of NYSE and AMEX stocks exhibit statistically significant, positive serial correlation. Volume autocorrelation decreases with the level of institutional ownership(More)
We examine the relation between indexing and active management in the mutual fund industry worldwide. Explicit indexing and closet indexing by active funds are associated with countries’ regulatory and financial market environments. We find that actively managed funds are more active and charge lower fees when they face more competitive pressure from(More)
A GC-MS protocol for profiling spirits, based on 19 acids and phenolic compounds, has been proposed and evaluated. The method combined a simple preconcentration procedure based on solid-phase (anion-exchange) disk extraction, and in-vial elution and silylation of the analytes. The derivatized extract was directly injected into the GC-MS system. These(More)
Understanding and measuring the evolution of market integration and its variation across countries is of critical importance. Market liberalization may not result in global pricing or increased market integration if implicit barriers are relevant. We use the conditional version of the Errunza and Losq (1985) model to test this proposition, and estimate(More)