Which institutional investor types are the most informed? (2024)

Chen, Z., Forsberg, D., & Gallagher, D. R. (2019). Which institutional investor types are the most informed? Accounting and Finance, 59(S1), 449-480. https://doi.org/10.1111/acfi.12378

Chen, Zhe ; Forsberg, David ; Gallagher, David R. / Which institutional investor types are the most informed?. In: Accounting and Finance. 2019 ; Vol. 59, No. S1. pp. 449-480.

@article{9ab670246619418399a55b735a8c910a,

title = "Which institutional investor types are the most informed?",

abstract = "We examine the informativeness of quarterly disclosed portfolio holdings across four institutional investor types: hedge funds, mutual funds, pension funds and private banking firms. Overweight positions outperform underweight positions only for hedge funds. By decomposing holdings and stock returns, we find that hedge funds are superior to other institutional investors both at picking industries and stocks and that they are better at forecasting long-term as well as short-term returns. Furthermore, our results show that hedge funds, mutual funds and pension funds are able to successfully time the market. The outperformance of hedge funds is not explained by a liquidity premium.",

keywords = "Holdings informativeness, Institutional investors, Market timing, Portfolio holdings, Stock picking",

author = "Zhe Chen and David Forsberg and Gallagher, {David R.}",

year = "2019",

month = apr,

day = "1",

doi = "10.1111/acfi.12378",

language = "English",

volume = "59",

pages = "449--480",

journal = "Accounting and Finance",

issn = "0810-5391",

publisher = "John Wiley & Sons",

number = "S1",

}

Chen, Z, Forsberg, D & Gallagher, DR 2019, 'Which institutional investor types are the most informed?', Accounting and Finance, vol. 59, no. S1, pp. 449-480. https://doi.org/10.1111/acfi.12378

Which institutional investor types are the most informed? / Chen, Zhe; Forsberg, David; Gallagher, David R.
In: Accounting and Finance, Vol. 59, No. S1, 01.04.2019, p. 449-480.

Research output: Contribution to journal › Article › peer-review

TY - JOUR

T1 - Which institutional investor types are the most informed?

AU - Chen, Zhe

AU - Forsberg, David

AU - Gallagher, David R.

PY - 2019/4/1

Y1 - 2019/4/1

N2 - We examine the informativeness of quarterly disclosed portfolio holdings across four institutional investor types: hedge funds, mutual funds, pension funds and private banking firms. Overweight positions outperform underweight positions only for hedge funds. By decomposing holdings and stock returns, we find that hedge funds are superior to other institutional investors both at picking industries and stocks and that they are better at forecasting long-term as well as short-term returns. Furthermore, our results show that hedge funds, mutual funds and pension funds are able to successfully time the market. The outperformance of hedge funds is not explained by a liquidity premium.

AB - We examine the informativeness of quarterly disclosed portfolio holdings across four institutional investor types: hedge funds, mutual funds, pension funds and private banking firms. Overweight positions outperform underweight positions only for hedge funds. By decomposing holdings and stock returns, we find that hedge funds are superior to other institutional investors both at picking industries and stocks and that they are better at forecasting long-term as well as short-term returns. Furthermore, our results show that hedge funds, mutual funds and pension funds are able to successfully time the market. The outperformance of hedge funds is not explained by a liquidity premium.

KW - Holdings informativeness

KW - Institutional investors

KW - Market timing

KW - Portfolio holdings

KW - Stock picking

UR - http://www.scopus.com/inward/record.url?scp=85064037366&partnerID=8YFLogxK

U2 - 10.1111/acfi.12378

DO - 10.1111/acfi.12378

M3 - Article

AN - SCOPUS:85064037366

SN - 0810-5391

VL - 59

SP - 449

EP - 480

JO - Accounting and Finance

JF - Accounting and Finance

IS - S1

ER -

Chen Z, Forsberg D, Gallagher DR. Which institutional investor types are the most informed? Accounting and Finance. 2019 Apr 1;59(S1):449-480. doi: 10.1111/acfi.12378