Volatility and the institutional investor

Research output: Contribution to journalArticlepeer-review

103 Scopus citations


Inconsistent with the relationship predicted by most academic theory, a positive contemporaneous association is documented between the level of institutional ownership and security return volatility after accounting for capitalization. This relationship is consistent with two stories: Either riskier securities attract institutional investors, or an increase in institutional holdings results in an increase in volatility. These empirical results are consistent with the latter interpretation.

Original languageEnglish (US)
Pages (from-to)13-20
Number of pages8
JournalFinancial Analysts Journal
Issue number2
StatePublished - 1996

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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