Work

Volatility and Institutional Investor Holdings in a Declining Market: A Study of NASDAQ During the Year 2000

Year: 2005

Type: preprint

Abstract: We investigate the differences in the holdings of institutional investors relative to individual investors during an eight-month period between March and November 2000, where the Nasdaq Composite index fell 46.23% in value. We find evidence that during that market decline, institutional investors held stocks with less return volatility than individual investors. Our evidence of institutional investor preference for holding lower volatility stocks in a declining market may indicate their relatively greater sensitivity to downside risk. As a consequence, institutional investors are found to perform better than individual investors during that specific time period.

Source: SSRN Electronic Journal

Authors: Christophe Faugère, Hany A. Shawky

Institutions: Kedge Business School, State University of New York, University at Albany, State University of New York

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W244806321

Cites: 15

Cited by: 10

Related to: 10