My dissertation finds that the effects of institutional trading on stock price efficiency are significant and complicated. On one hand, I present evidence that institutional trading in general improves price efficiency. In particular, major stock market anomalies such as stock return momentum, post earnings announcement drift, and the book-to-market effect are much stronger in stocks with lower institutional trading volume. On the other, some institutional trading behaviors could hamper stock price efficiency even though institutions are generally rational arbitrageurs. Specifically, I show that when institutions act as positive-feedback traders, their trading contributes to stock return momentum and hampers prices efficiency.
| Identifer | oai:union.ndltd.org:UTEXAS/oai:repositories.lib.utexas.edu:2152/3491 |
| Date | 28 August 2008 |
| Creators | Shu, Tao, 1975- |
| Contributors | Titman, Sheridan |
| Source Sets | University of Texas |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | electronic |
| Rights | Copyright © is held by the author. Presentation of this material on the Libraries' web site by University Libraries, The University of Texas at Austin was made possible under a limited license grant from the author who has retained all copyrights in the works. |
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