TY - JOUR
T1 - Price informativeness and institutional ownership
T2 - Evidence from Japan
AU - Luo, Miao
AU - Chen, Tao
AU - Yan, Isabel K.
PY - 2014/5
Y1 - 2014/5
N2 - Using extensive intraday transaction and institutional ownership data of Japan, this study investigates the question of whether institutional ownership increases the extent to which equity prices reflect information about the firms' fundamentals (the degree of price informativeness) and the roles played by various types of institutional investors. The results indicate that the presence of institutional investors, especially foreign institutions, increase the amount of information aggregated in the stock prices. Such relation is robust to various liquidity measures, possible presence of endogeneity in the ownership structure, and alternative measures of price informativeness.
AB - Using extensive intraday transaction and institutional ownership data of Japan, this study investigates the question of whether institutional ownership increases the extent to which equity prices reflect information about the firms' fundamentals (the degree of price informativeness) and the roles played by various types of institutional investors. The results indicate that the presence of institutional investors, especially foreign institutions, increase the amount of information aggregated in the stock prices. Such relation is robust to various liquidity measures, possible presence of endogeneity in the ownership structure, and alternative measures of price informativeness.
KW - Institutional ownership
KW - Japan
KW - Price informativeness
UR - http://www.scopus.com/inward/record.url?scp=84898001399&partnerID=8YFLogxK
U2 - 10.1007/s11156-013-0355-y
DO - 10.1007/s11156-013-0355-y
M3 - Article
AN - SCOPUS:84898001399
SN - 0924-865X
VL - 42
SP - 627
EP - 651
JO - Review of Quantitative Finance and Accounting
JF - Review of Quantitative Finance and Accounting
IS - 4
ER -