Institutional investors and the limits of arbitrage

By J. Lewellen. 2011

219 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2a5d21c27bc7365907dcfcd2b2bd8604903c1508

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Citations in the corpus

Religious Beliefs, Gambling Attitudes, and Financial Market Outcomes (2011, background): “However, the type code errors are more common among institution types 3, 4, and 5 (Lewellen, 2011).”
Cash Flow Duration and the Term Structure of Equity Returns (2018, unknown): “Lewellen (2011) – also using institutional ownership data from the TR 13F database – shows that institutions in the aggregate have little stock picking skills and institutional ownership has no predictive power for returns.”
The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, background): “Finally, short interest data may be more informative than data on long-side stock holdings because, in the aggregate, long-side institutional investors hold the market portfolio and show little tendency to bet on characteristics known to predict stock returns in the cross-section (Lewellen 2011).”
Institutional Investors and Stock Return Anomalies (2016, unknown): “One of the recent entries in this literature, Lewellen (2011), examines the aggregate holdings of institutional investors and finds little evidence of stock-picking skill.”
The Growth of Finance (2013, methodology): “According to modern fi nance theory, participation and diversifi cation bring signifi cant direct benefi ts to households.”
An Equilibrium Model of Institutional Demand and Asset Prices (2016, unknown): “We also include as part of the household sector any 13F institutions with less than $10 million in assets under management, In a small number of cases, the sum of shares reported by 13F institutions exceeds shares outstanding, which may be due to shorting or reporting errors (Lewellen 2011).”
Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns (2016, background): “…Hirshleifer, Hou, and Teoh (2009), Polk and Sapienza (2009), Hirshleifer and Jiang (2010), Li and Zhang (2010), Hirshleifer, Teoh, and Yu (2011), Lewellen (2011), Stambaugh, Yu, and Yuan (2012), Avramov, Chordia, Jostova, and Philipov (2013), Novy-Marx (2013), Hou et al. (2015), and Fama and…”