Which Institutional Investor Types are the Most Informed?

32 Pages Posted: 10 Apr 2019

See all articles by Zhe Chen

Zhe Chen

Acadian Asset Management; University of New South Wales (UNSW); Centre for International Finance and Regulation (CIFR)

David Forsberg

Rozetta Institute

David R. Gallagher

Rozetta Institute

Multiple version iconThere are 2 versions of this paper

Date Written: April 2019

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: Portfolio holdings, Institutional investors, Holdings informativeness, Stock picking, Market timing

Suggested Citation

Chen, Zhe and Forsberg, David and Gallagher, David R., Which Institutional Investor Types are the Most Informed? (April 2019). Accounting & Finance, Vol. 59, pp. 449-480, 2019, Available at SSRN: https://ssrn.com/abstract=3369150 or http://dx.doi.org/10.1111/acfi.12378

Zhe Chen (Contact Author)

Acadian Asset Management ( email )

260 Franklin Street
Boston, MA 02110
United States

University of New South Wales (UNSW)

Kensington
High St
Sydney, NSW 2052
Australia

Centre for International Finance and Regulation (CIFR) ( email )

Level 7, UNSW CBD Campus
1 O'Connell Street
Sydney, NSW 2000
Australia

David Forsberg

Rozetta Institute ( email )

Sydney

David R. Gallagher

Rozetta Institute ( email )

Sydney

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