This dissertation considers two important issues relevant to the efficiency of institutional investment managers. It examines the trading behaviour of institutional equity funds in relation to investment style drift and dividend payments to assess whether trading is beneficial to investors in these funds. The analysis of investment style is relevant because of the prominence of multiple manager funds in Australia, while institutional investor preferences for dividend income will impact the after-tax return of fund investors. Firstly, monthly equity fund portfolio holdings are used to examine the magnitude of investment style drift. Institutional investor style tilts are consistent with their self-stated investment objective. Decomposing style drift into active and passive components reveals that institutions retain a desired portfolio tilt by actively adjusting their portfolio holdings in response to passive style drift. Furthermore, funds are most responsive to changes in book-to-market and momentum drift, with style drift affecting portfolio turnover. Secondly, the dissertation presents an equilibrium framework of dividend valuation and ex-dividend trading under Australia??s imputation tax system. An examination of returns, volume, and order imbalance in the Australian equity market shows that investors value dividends. The results are consistent with long-term investors accelerating trades to the cum-dividend period and short-term traders targeting fully franked, high yielding dividends with a small bid-ask spread. Franking credits possess a positive value for the majority of the sample while transaction costs impede the efficient adjustment of prices on the ex-dividend day. The results show that a 45-day holding period rule reduces the amount of short-term trading from July 1999. Thirdly, the dissertation places the ex-dividend trading behaviour of institutional equity funds in the context of the findings for the Australian equity market. Institutions accelerate their sales of long-term holdings to the cum-dividend period, and delay purchases until the ex-dividend period to avoid dividends. Institutional trading is consistent with the provision of liquidity to short-term traders that are attempting to capture both dividends and franking credits. The introduction of a long-term capital gains tax discount in 1999 entices institutions to trade in a more tax-efficient manner by selling long-term holdings prior to the ex-dividend day.

Thesis (Ph.D.)--York University, 2006. Graduate Programme in Business Administration. / Typescript. Includes bibliographical references (leaves 168-181). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:NR19850

Thesis (Ph. D.)--University of Texas at Austin, 2008. / Vita. Includes bibliographical references.

Thesis (Ph. D.)--University of Texas at Austin, 2008. / Vita. Includes bibliographical references.

Thesis (Ph. D.)--University of North Texas, August, 2008. / Title from title page display. Includes bibliographical references.

Empirical findings on herding behavior among institutional investors suggest that those market participants speed up the price adjustment to new information and as such stabilize stock prices. Other findings indicate the opposite, that institutional herds drive stock prices away from fundamental values, and thus destabilize stock prices. This study examines the effect that Swedish institutional investors have on the stock prices on the Stockholm Stock Exchange. More precisely, we analyze the relationship of institutional herding with future excess stock returns. Major findings from this paper suggest that persistent herding among Swedish institutional investors leads to future long-term return reversals, which to some extent indicates a destabilizing influence at long horizons.

This dissertation focuses on institutional investors in corporate bond markets and their impacts on the underlying corporate bonds. The dissertation is composed of three chapters. The first chapter studies how information networks of corporate bond mutual funds may be constructed. It highlights how information flow between corporate bond mutual funds affects fund performance, herding behaviors, and the underlying corporate bond market. By examining the trading behavior of corporate bond mutual funds, I show that bond funds in more central positions of a trading network have an informational advantage that results in 0.33% higher future fund risk-adjusted return. This positive relationship becomes stronger during periods of high market uncertainty and for bond funds with more liquid assets as they can respond to the information signal with a lower asset reallocation cost. I further show that manager turnover, ranking pressure, and fund flow fluctuation drive within-fund time varying changes in network centrality. The second chapter exploits the influence of information networks of corporate bond mutual funds on their underlying corporate bonds. I show that corporate bonds owned by highly network-central bond funds increase underlying liquidity, leading to a 3.5% decrease in future bid/ask spreads and a lower Amihud illiquidity measure. This is hypothesized to occur due to increased information efficiency, which allows for more bond specific information to be reflected in the price, and intensified herding behavior. Moreover, I construct a network to represent herding behavior by following the same trades across quarters. A 0.3% decrease in risk-adjusted fund return is found for bond funds that have the strongest herding behavior. The third chapter studies how corporate bond exchange-traded funds (ETF) impact the underlying corporate bond return comovement and how it relates to trading and arbitrage activities of corporate bond ETFs. The literature is silence about the effect of corporate bond ETFs on the comovement of underlying bond securities. This chapter aims to fill this gap by providing the first empirical evidence of bond return comovement driven by bond ETFs ownership. I find that bond ownership by corporate bond ETFs leads to higher bond return comovement, an increase of 0.26 in the beta of corporate bond return with respect to the aggregate bond portfolio. In contrast, bond ownership by other traditional institutional investors in the corporate bond market like bond mutual funds and insurance companies do not contribute to corporate bond return comovement. Furthermore, this chapter highlights that return comovement is driven by corporate bond ETFs’ creation and redemption activities.

This dissertation consists of two empirical essays on investor behavior and liquidity variation. The results demonstrate the important role of investors in affecting liquidity. The first essay examines how the fluctuation in the aggregate stock market liquidity is related to investor sentiment. I find that the stock market is more liquid when investor sentiment is higher. This evidence is consistent with the theoretical prediction that higher investor sentiment increases stock market liquidity. The second essay investigates whether the cross-sectional differences in liquidity are affected by institutional ownership. I document that stocks with larger increases in the number of institutional investors are more liquid than other stocks. This result is consistent with the prediction that information competition among institutional investors increases stock liquidity. / text

Thesis (Ph. D.)--University of Texas at Austin, 2008. / Vita. Includes bibliographical references.

Thesis (Ph. D.)--Washington State University, May 2009. / Title from PDF title page (viewed on June 1, 2009). "College of Business." Includes bibliographical references.