INSTITUTIONAL OWNERSHIP LEVEL AND RISK-ADJUSTED RETURN

Date created
2017-12
Authors/Contributors
Abstract
This paper examines the relationship between the level of institutional ownership andrisk-adjusted return on stocks. We find a significant positive relationship between the level ofinstitutional ownership on a stock and its risk-adjusted return. This result holds both in the longrun and in shorter time periods. Our findings suggest that all things being equal, it is possible toobtain risk-adjusted return by going short on the stocks with low institutional ownership andgoing long on those with a high level of institutional ownership.
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Description
MSc in Finance Project-Simon Fraser University.
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Copyright is held by the author(s).
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Peer reviewed?
No
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