Equity style returns and institutional investor flows /
This paper explores institutional investor trades in stocks grouped by style and the relationship of these trades with equity market returns. It aggregates transactions drawn from a large universe of approximately $6 trillion of institutional funds. To analyze style behavior, we assign equities to d...
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| Format: | Book |
| Language: | English |
| Published: |
[Boston] :
Division of Research, Harvard Business School,
c2004.
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| Series: | Working paper (Harvard Business School. Division of Research) ;
04-048. |
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| Summary: | This paper explores institutional investor trades in stocks grouped by style and the relationship of these trades with equity market returns. It aggregates transactions drawn from a large universe of approximately $6 trillion of institutional funds. To analyze style behavior, we assign equities to deciles in each of five style dimensions: size, value/growth, cyclical/defensive, sector, and country. |
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| Item Description: | "This version: January 2004"--Added t.p. |
| Physical Description: | 35 p. : ill. ; 28 cm. |
| Bibliography: | Includes bibliographical references. |