Institutional Investors and Equity Prices
分析机构投资者对股票特征的需求及其对股价和回报的影响，发现1980至1996年间大型机构投资者持股比例翻倍，这一结构性转变可解释大盘股相对小盘股价格近50%的上涨及小盘股溢价的消失。
This paper analyzes institutional investors' demand for stock characteristics and the implications of this demand for stock prices and returns. We find that "large" institutional investors nearly doubled their share of the stock market from 1980 to 1996. Overall, this compositional shift tends to increase demand for the stock of large companies and decrease demand for the stock of small companies. The compositional shift can, by itself, account for a nearly 50 percent increase in the price oflarge-company stock relative to small-company stock and can explain part of the disappearance of the historical small-company stock premium.