Style Investing and Institutional Investors

• Main Authors: FROOT, Kenneth, TEO, Melvyn
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2542; https://ink.library.smu.edu.sg/context/lkcsb_research/article/3541/viewcontent/StyleInvestingInstitutionalInvestors_2008.pdf
• Institution: Singapore Management University

This paper explores the importance and price implications of style investing by institutional investors in the stock market. To analyze styles, we assign stocks to deciles or segments across three style dimensions: size, value/growth, and sector. We find strong evidence that institutional investors...