The Changing Preferences of Institutional Investors for Common Stocks

Résumé du livre

We document that institutional investors, and particularly hedge funds, increased their holdings of smaller stocks from 1980 to 2010 and decreased their holdings of larger stocks. As of 1990 institutions began to underweight, relative to market weights, those stocks that make up the largest 40 percent of the value of the market, and as of 2006 began to overweight the stocks that make up the smallest 20 percent of the market. The contrary findings in the literature are due to a statistical misspecification. We propose that changes in the institutional investing environment since the 1970s are the source of these changing preferences.