Price informativeness and institutional ownership: evidence from Japan |
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Authors: | Miao Luo Tao Chen Isabel K Yan |
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Institution: | 1. Department of Economics and Finance, City University of Hong Kong, Kowloon, Hong Kong 2. Lee Shau Kee School of Business and Administration, Open University of Hong Kong, Kowloon, Hong Kong
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Abstract: | 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. |
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