We investigate the impact of retail vs institutional investor attention on returns, idiosyncratic risk and liquidity of the cryptocurrency market. Accordingly, retail (institutional) investor ...attention has a negative (positive) effect on cryptocurrency returns. Moreover, retail (institutional) investor attention aggravates (constrains) the idiosyncratic risk whereas both type of attention boost liquidity of the cryptocurrency market. However, only retail investor attention exacerbates idiosyncratic volatility in unstable market conditions whereas it has a constructive effect on liquidity in low global economic policy uncertainty. Furthermore, institutional investor attention has a constructive impact on both idiosyncratic risk and liquidity within relatively stable and rising external market environment.
•We use twitter posts to construct a retail investor attention index.•We use Bloomberg story counts via news trend function to construct an institutional investor attention index.•Retail (institutional) investor attention aggravates (constrains) the idiosyncratic risk whereas both type of attention boost liquidity of the cryptocurrency market.•Retail investor attention exacerbates idiosyncratic volatility in unstable market conditions whereas it has a constructive effect on liquidity in low global economic policy uncertainty.•Institutional investor attention has a constructive impact on both idiosyncratic risk and liquidity within relatively stable and rising external market environment.
This paper examines how different categories of institutional investors influence green innovation for Chinese-listed companies and investigates the impact of digital transformation on this ...relationship. Results show that pressure-insensitive investors significantly improve corporate green innovation, while pressure-sensitive institutions have no effect. Further evidence suggests this is due to the negative impact of long-term pressure-sensitive investors on green innovation. We further analyze whether digital transformation affects the relationship between institutional ownership heterogeneity and green innovation. Consistent with the view that digital transformation promotes timely information dissemination and alleviates information asymmetry, our findings demonstrate that both pressure-insensitive institutional investors and short-term pressure-sensitive institutional investors promote green innovation in firms with higher levels of digital transformation. Further analyses reveal that digital transformation at the city level amplifies the influence of institutional investors on green innovation, and the underlying technology architecture provides more value to the institutional ownership heterogeneity−green innovation nexus.
This paper assesses whether qualified foreign institutional investors (QFIIs) and domestic institutional investors in China drive the environmental, social, and governance (ESG) performance of firms. ...We first show that QFII ownership is positively associated with future ESG performance but that domestic institutional ownership is not. We then examine the effect of the increase in QFII investment funds on the decision of domestic institutional investors to drive ESG. We find that with the increase in QFII investment funds, domestic institutional investors start to promote firms to improve future ESG performance, especially domestic institutional investors who have held shares of one same firm as QFIIs at the same time. In particular, funds and security funds are affected by QFIIs, and the effect of institutional ownership is stronger in the ESG categories of corporate governance, workforce diversity and product quality. Overall, our results suggest that QFIIs motivate Chinese institutional investors to drive ESG.
We study the effect of retail investor attention on odd lot trading. We observe that increases in abnormal Google search volume predict odd-lot trading. Importantly, this relationship is share ...price-sensitive: For stocks priced below $11, an increase in abnormal search volume leads to less odd lot trading. For stocks priced above $46, on the other hand, an increase in abnormal search volume leads to more odd lot trading. For a stock priced at $78 – the mean share price in our sample – a one standard deviation increase of abnormal search volume increases the average share of odd lot trading by 10 basis points. This effect is even stronger for more expensive stocks. Our results are consistent with attention-induced trading when investors face wealth constraints and are robust to alternative channels including news and institutional investor attention.
•We examine the relationship between odd lot trading and retail investor attention.•We use Google search volume as a proxy for retail investor attention.•The relationship is share price-sensitive.•For high-priced stocks, an increase in search volume leads to more odd lot trades.•Accounting for retail investors is crucial when analyzing odd lot trades.
As individual investors who act independently can generate only limited influence on corporate decisions, this paper considers clustered institutional investors connected through investor networks as ...salient external stakeholders and investigates whether shared preferences for environmental, social, and governance (ESG) among clustered institutional investors induce more low-carbon innovation of family firms. Using a dataset with 9249 observations over the period of 2007–2019 of Chinese family firms, we develop a novel measurement for the shared preferences for ESG activities among clustered institutional investors and find that such shared preferences are positively related to corporate low-carbon innovation. From a stakeholder perspective, we explore the moderating effects of green finance and family control. Our findings suggest that green finance strengthens the above relationship, but this positive moderating effect is significant only in the low-uncertainty economic context. We also find that as family control increases, the positive impact of the shared preferences for ESG among clustered institutional investors on low-carbon innovation becomes less pronounced, and such a negative moderating effect disappears if a family successor is present in the top management team.
•Shared ESG preference of institutional investors (S_ESG) spur low-carbon innovation•Green finance positively moderates the effect of S_ESG on low-carbon innovation•Such moderating effect of green finance is pronounced in stable economic situation•Family control negatively moderates the effect of S_ESG on low-carbon innovation•Such moderating effect of family control weakens if young family member present in TMT
This study examines the left‐digit bias of individual and institutional investors using the microstructural data set from a highly liquid index futures market. Both investor groups exhibit excess ...buying after the ask falls with a tens‐digit decrement, whereas excess selling (buying) is observed only for institutions (individuals) after the bid rises with a tens‐digit increment. Such excess buying is generally pronounced when price uncertainty is high. Institutional excess selling is evident when uncertainty is low and immediately after the market opens. While both investor groups focus on cognitive reference points, our findings imply that investors heterogeneously respond to the bias and that individuals experience investment losses as they trade on the bias.
Institutional trading and Abel Noser data Hu, Gang; Jo, Koren M.; Wang, Yi Alex ...
Journal of corporate finance (Amsterdam, Netherlands),
10/2018, Volume:
52
Journal Article
Peer reviewed
We survey the growing academic literature using Abel Noser data, including 55 publications thus far. We analyze publication patterns to explore how the availability of a specialized microstructure ...dataset propagates across different areas within finance and into other disciplines such as accounting. Of note, we identify corporate finance and accounting as the most under-researched areas that offer promising opportunities for future academic research using the data. To provide guidance for researchers interested in using Abel Noser data, we analyze institutional trading using transaction-level data spanning more than 12 years and covering 233 million transactions with $37 trillion traded. We provide background information on the origin and history of the data, offer suggestions for cleaning and using the data, and discuss (dis)advantages of Abel Noser compared to other data sources for institutional trading. We also document two simple facts: 1) institutional trade sizes decline dramatically over time, rendering trade size-based inferences of institutional trades problematic; 2) we estimate that Abel Noser data cover 12% of CRSP volume over our sample period and 15% for 1999–2005, significantly higher than the estimate in Puckett and Yan (2011) for 1999–2005: 8%, a widely quoted number in the literature. This background should prove useful for researchers seeking to address a number of as yet unexplored issues, especially in corporate finance and accounting research.
•We provide comprehensive information about Abel Noser (ANcerno) data.•Abel Noser data is an important source for academic research on institutional trading.•55 publications so far in corporate, investments, microstructure, and accounting.•Abel Noser data cover a higher percentage of market volume than previously thought.•Institutional trade sizes decline dramatically over time.
This study examines the optimal intertemporal liquidation strategies to meet the cash requirements of large institutional investors in the presence of permanent and temporary price impacts. We ...construct a two-period optimal liquidation problem tailored to investors with intertemporal cash requirements, such as pension funds that need to meet periodic payment obligations. We impose viable government loans that can be deployed by state-owned investors, thereby extending the existing literature, which has focused largely on the private sector. The optimal liquidation strategies from a broader perspective can be sorted into three types: preemptive, conventional, and deferred liquidation. The use of viable large-scale loans can be attractive as a buffer in intertemporal decisions. Proper consideration of the timing and amount for liquidation of institutional investors is necessary. This study has important implications for policy makers and can inform the design of strategies for managing the liquidity needs of large institutional investors.
ABSTRACT
We examine how the threat of exit by non‐blockholders (investors with ownership <5%) relates to firms' income smoothing. Unlike informed blockholders, non‐blockholders lack private ...information and therefore rely more on reported accounting numbers to evaluate firm performance. To isolate the exit threat, we use the unique setting in Japan where strong firm‐centric social norms and lack of insider access lead non‐blockholding foreign institutions to influence management primarily through the threat of exit. We predict and find that foreign non‐blockholders' exit threat is positively associated with the extent of income smoothing. This effect is more pronounced for firms less embedded in Japan's stakeholder‐based system, firms with greater stock liquidity, and firms with higher US institutional ownership. In addition, smoothing associated with such an exit threat, on average, is informative. Our findings suggest that Japanese firms under non‐blockholders' exit threat increase income smoothing to reduce perceived uncertainty and that such smoothing generally meets non‐blockholders' information needs.
RÉSUMÉ
Menace de sortie des non‐actionnaires et lissage des résultats : le cas des investisseurs institutionnels étrangers au Japon
Les auteurs examinent le lien entre la menace de sortie des non‐actionnaires (investisseurs dont la participation est inférieure à 5 %) et le lissage des résultats des entreprises. Contrairement aux actionnaires informés, les non‐actionnaires ne disposent pas d'informations privilégiées et se fient donc davantage aux données comptables publiées pour évaluer la performance de l'entreprise. Pour isoler la menace de sortie, les auteurs utilisent le contexte unique du Japon où les normes sociales fortes centrées sur l'entreprise et le manque d'accès à l'information interne conduisent les institutions étrangères non‐actionnaires à influencer la direction principalement par la menace de sortie. Les auteurs formulent et confirment que la menace de sortie des non‐actionnaires étrangers est positivement associée à l’étendue du lissage des résultats. Cet effet est plus prononcé pour les entreprises moins ancrées dans le système japonais basé sur l'actionnariat, les entreprises ayant davantage de liquidité et les entreprises comptant plus d'investisseurs institutionnels provenant des États‐Unis. En outre, le lissage associé à une telle menace de sortie est, en moyenne, informatif. Les résultats de l’étude suggèrent que les entreprises japonaises soumises à la menace de sortie des non‐actionnaires lissent davantage leurs résultats afin de réduire l'incertitude perçue et que ce lissage répond généralement aux besoins d'information des non‐actionnaires.
When stock price crash risk meets fundamentals Meng, Yongqiang; Shen, Dehua; Xiong, Xiong
Research in international business and finance,
April 2023, 2023-04-00, Volume:
65
Journal Article
Peer reviewed
We investigate the relationship between fundamental strength and stock price crash risk by analyzing a large sample of Chinese firms. We mainly find that firms with stronger (weaker) total ...fundamental strength, higher (lower) profitability and higher (lower) operating efficiency have lower (higher) stock price crash risk. Moreover, this negative relationship is more pronounced for firms with a great number of short-term institutional investors and opaque firms. Additional test illustrates that internal control could ameliorate this negative relationship. All these findings are robust to alternative measurements of crash risk and endogeneity correction.
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•Investigate the relationship between fundamental strength and stock price crash risk.•Firms with stronger total fundamental strength have lower stock price crash risk.•Firms with higher profitability have lower stock price crash risk.•Firms with higher operating efficiency have lower stock price crash risk.•Internal control could ameliorate this negative relationship.
