Institutional Investors, Households, and the Time-Variation in Expected Stock Returns
研究发现机构持股比例越高的股票组合，其估值变化更多由预期收益的时变性驱动，而非预期现金流变化，这源于机构投资者对持股风险的敏感性随时间变化。
Abstract I document a new stylized fact: The higher the degree of institutional ownership (IO) in a portfolio, the more time-varying expected returns rather than changes in expected cash flows drive changes in its valuation. Empirical evidence suggests that institutions’ time-varying sensitivity to the risk of holding stocks translates into time-varying expected returns on high-IO stocks. In my model, imperfect risk sharing between different types of investors generates cross-sectional differences in return predictability based on ownership, even among a priori identical stocks. My findings suggest an economic rationale for weak return predictability of small stocks and predictability reversals of stocks and real estate investment trusts.