Please use this identifier to cite or link to this item: http://hdl.handle.net/2440/70381
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Type: Journal article
Title: The impact of international institutional investors on local equity prices: Reversal of the size premium
Author: Jiang, H.
Yamada, T.
Citation: Financial Analysts Journal, 2011; 67(6):61-76
Publisher: CFA Institute
Issue Date: 2011
ISSN: 0015-198X
1938-3312
Statement of
Responsibility: 
Hao Jiang, Takeshi Yamada
Abstract: The article presents a study regarding the influence of international institutional investors on local equity prices. The study used the comprehensive company-level ownership data from the Pacific-Basin Capital Markets (PACAP) Research Center databases including the accounting data, stock prices, and return data for stocks traded in Tokyo Stock Exchange in Japan from 1975 to 2006. Results showed that there was a strong correlation between the equity size premium and the investment flows of international institutional investors. Moreover, equity size premium was reversed in mid-1990s when investment flows shifted into larger stocks.
Rights: Copyright status unknown
RMID: 0020115771
DOI: 10.2469/faj.v67.n6.2
Appears in Collections:Business School publications

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