Agency and Institutional Investment |
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Authors: | Michael J Brennan Xiaolong Cheng Feifei Li |
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Institution: | 1. Anderson School, UCLA, and Manchester UniversityE‐mail: mbrennan@anderson.ucla.edu;2. Anderson School, UCLAE‐mail: xiaolongcheng@hotmail.com;3. Research Affiliates, LLCE‐mail: feifei.li@gmail.com |
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Abstract: | In this paper we summarise and extend the agency‐based model of asset pricing of Brennan (1993) to show that the implied agency effects on asset pricing are too small to be empirically detectable: empirical tests confirm this and we show that the positive findings of Gomez and Zapatero (2003) are due to their choice of sample. We also derive new empirical implications for the composition of institutional investment portfolios and empirically confirm the major result, that institutional portfolios will be short the minimum variance portfolio. |
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Keywords: | portfolio choice asset pricing CAPM institutional investors G110 G120 G230 |
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