The Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium

Posted: 23 Nov 2011

See all articles by Takeshi Yamada

Takeshi Yamada

Australian National University (ANU)

Hao Jiang

Michigan State University

Date Written: November 22, 2011

Abstract

Using comprehensive company-level ownership data from Japan, the authors found that the equity size premium correlates strongly with the investment flows of international institutional investors. When investment flows intensified and shifted into larger stocks in the mid-1990s, the equity size premium was reversed. Their findings suggest that a large fraction of the time variation in the size premium is driven by price pressures, regardless of any shift in the fundamentals of small and large companies.

Keywords: Equity Investments, Equity Market Valuation and Return Analysis, Analysis of World Security Markets, International Equity Investing, Equity Markets, Characteristics, Institutions, Benchmarks, Organization and Functioning of Securities Markets, Portfolio Management, Equity Portfolio Management

Suggested Citation

Yamada, Takeshi and Jiang, Hao, The Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium (November 22, 2011). Financial Analysts Journal, Vol. 67, No. 6, 2011, Available at SSRN: https://ssrn.com/abstract=1963295

Takeshi Yamada (Contact Author)

Australian National University (ANU) ( email )

Canberra, Australian Capital Territory 2601
Australia

Hao Jiang

Michigan State University ( email )

315 Eppley Center
Department of Finance
East Lansing, MI 48824
United States

HOME PAGE: http://sites.google.com/site/haojiangfinance/

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