Do Institutional Investors Stabilize Equity Markets in Crisis Periods? Evidence from COVID-19
研究发现，在COVID-19股市崩盘期间，机构持股比例高的美国股票表现更差，机构投资者通过缩减规模和重新配置组合加剧了价格下跌，零售投资者则提供了流动性。
During the COVID-19 stock market crash, U.S. stocks with higher institutional ownership (IO) performed worse than those with lower IO. By studying firm-level changes, we identify two mechanisms behind this effect: a sudden downscaling of institutional capital in the equity market and a collective attempt by institutions to reposition their equity portfolios toward more COVID-resilient stocks. The stock price effects of their “portfolio downscaling” trades quickly reversed in the market’s recovery phase, whereas those of their “portfolio repositioning” trades lingered. The institutional rush for firm resilience also caused price pressures, with retail investors providing liquidity to stocks sold by institutional investors, both during the crisis and afterward. Overall, our results indicate that when a tail risk is realized, institutional investors amplify price crashes. This paper was accepted by Lukas Schmid, finance. Funding: S. Glossner and P. Matos acknowledge financial support from the Richard A. Mayo Center for Asset Management at the Darden School of Business. S. Ramelli and A. F. Wagner acknowledge financial support from the University of Zurich Research Priority Program “Financial Market Regulation.” Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.03411 .