Agency and institutional investment

Michael J. Brennan, Xiaolong Cheng, Feifei Li

Research output: Contribution to journalArticlepeer-review


In this paper we summarise and extend the agency-based model of asset pricing of to show that the implied agency effects on asset pricing are too small to be empirically detectable: empirical tests confirm this and we show that the positive findings of are due to their choice of sample. We also derive new empirical implications for the composition of institutional investment portfolios and empirically confirm the major result, that institutional portfolios will be short the minimum variance portfolio. © 2011 Blackwell Publishing Ltd.
Original languageEnglish
Pages (from-to)1-27
Number of pages26
JournalEuropean Financial Management
Issue number1
Publication statusPublished - Jan 2012


  • Asset pricing
  • CAPM
  • Institutional investors
  • Portfolio choice


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