Agency and institutional investment

Michael J. Brennan; Xiaolong Cheng; Feifei Li

doi:10.1111/j.1468-036X.2011.00596.x

Agency and institutional investment

Michael J. Brennan, Xiaolong Cheng, Feifei Li

A&F Accounting & Finance

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	1-27
Number of pages	26
Journal	European Financial Management
Volume	18
Issue number	1
DOIs	https://doi.org/10.1111/j.1468-036X.2011.00596.x
Publication status	Published - Jan 2012

Keywords

Asset pricing
CAPM
Institutional investors
Portfolio choice

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10.1111/j.1468-036X.2011.00596.x

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title = "Agency and institutional investment",

abstract = "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. {\textcopyright} 2011 Blackwell Publishing Ltd.",

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AB - 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.

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KW - Institutional investors

KW - Portfolio choice

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JF - European Financial Management

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Agency and institutional investment

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Keywords

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