Adelaide Research & Scholarship
Please use this identifier to cite or link to this item:
https://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 |
| DOI: | 10.2469/faj.v67.n6.2 |
| Published version: | http://dx.doi.org/10.2469/faj.v67.n6.2 |
| Appears in Collections: | Aurora harvest 5 Business School publications |
Files in This Item:
| File | Description | Size | Format | |
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| RA_hdl_70381.pdf Restricted Access | Restricted Access | 10.69 MB | Adobe PDF | View/Open |
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