The Granular Nature of Large Institutional Investors
研究发现美国大型机构投资者持股比例上升会导致股价波动更大、噪音更多，并在危机时加剧脆弱性，原因是机构内部子单元行为相关，减少了风险分散。
Large institutional investors own an increasing share of the equity markets in the United States. The implications of this development for financial markets are still unclear. The paper presents novel empirical evidence that ownership by large institutions predicts higher volatility and greater noise in stock prices as well as greater fragility in times of crisis. When studying the channel, we find that large institutional investors exhibit traits of granularity (i.e., subunits within a firm display correlated behavior), which reduces diversification of idiosyncratic shocks. Thus, large institutions trade larger volumes and induce greater price impact. This paper was accepted by David Simchi-Levi, finance.