Asset Price Effects of Peer Benchmarking : Evidence from a Natural Experiment

Asset Price Effects of Peer Benchmarking : Evidence from a Natural Experiment

This paper estimates the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, the paper exploits a natural e...

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Bibliographic Details
Main Authors: Acharya, Sushant, Pedraza, Alvaro
Format: Working Paper
Language:English
en_US
Published: World Bank, Washington, DC 2015
Subjects:
INDIVIDUAL ACCOUNTS
STOCK PRICES
RISKS
HOLDING
LARGE INSTITUTIONAL INVESTORS
MARKET STRUCTURE
BENCHMARK INDEX
FUND MANAGER
RETURN VOLATILITY
MARKET PORTFOLIO
STOCK
PENSION FUND MANAGERS
FUND MANAGERS
PORTFOLIO HOLDING
INTEREST
INSTITUTIONAL INVESTORS
RATE OF RETURN
TRADING VOLUME
GUARANTEES
ASSET PRICES
PENSION SYSTEMS
EMERGING ECONOMIES
PORTFOLIO CHOICE
EXCHANGE
STOCK MARKET
LIQUIDITY
DOMESTIC MARKET
ASSET
POLITICAL ECONOMY
EQUITY SECURITIES
ARS
PORTFOLIO
BOOK VALUE
EQUITY RETURNS
MUTUAL FUNDS
ASSET MANAGEMENT
BENCHMARKS
MOMENTUM INVESTMENT STRATEGIES
PENSION SYSTEM
STOCK DATA
PENSION REFORMS
DUMMY VARIABLE
RESERVE
ASSET RETURNS
BANKRUPTCY
MONEY MANAGERS
INTERNATIONAL BANK
PENSION
FUND SHARE
INSTRUMENTS
SHORT-TERM RETURN
PRICE DISCOVERY
MARKET PARTICIPANTS
FUND PORTFOLIOS
INVESTMENT BEHAVIOR
PORTFOLIO RETURNS
FUND BEHAVIOR
RESERVE BANK
FINANCIAL STUDIES
MOMENTUM TRADING
PORTFOLIOS
PRICE VOLATILITY
TRADING
DEBT
MARKETS
RETURN
INVESTMENT OPPORTUNITIES
ASSET CLASSES
WINDOW DRESSING
INVESTMENT STRATEGY
PENSION FUNDS
FINANCE
TRANSACTIONS
EQUITY
SP
INVESTORS
MONEY MANAGEMENT
FEDERAL RESERVE
VALUATIONS
VALUE OF ASSETS
SYSTEMIC RISK
FEDERAL RESERVE BANK
VOLATILITY
BEHAVIORAL FINANCE
MARKET CAPITALIZATION
MARKET FAILURES
STOCK RETURN
FUTURE
RETURNS
ABNORMAL RETURNS
MARKET INDEX
FUND INVESTMENT
MUTUAL FUND HERDING
INDIVIDUAL ACCOUNT
CAPITALIZATION
ASSET PRICING
PORTFOLIO ALLOCATION
ASSETS
MARKET
BENCHMARK
ASSET ALLOCATION
INDIVIDUAL SECURITIES
SECURITIES
FEDERAL RESERVE SYSTEM
HOLDINGS
INSURANCE
GOVERNMENT DEBT
PORTFOLIO STRATEGIES
INVESTMENT STRATEGIES
EQUITY MUTUAL FUNDS
INTERESTS
INVESTOR
SECURITY
PRICE PRESSURES
SHORT-TERM MARKET
MUTUAL FUND
STOCKS
STOCK EXCHANGE
INVESTMENT
RISK
SHARE
FINANCIAL MARKETS
BPS
PORTFOLIO HOLDINGS
RISK TAKING
STOCK PRICE
ASSETS UNDER MANAGEMENT
PRICE OF STOCKS
MARKET INTEGRATION
SUPERVISORY AGENCY
PENSION FUND
STOCK RETURNS
INSTRUMENT
MUTUAL FUND BEHAVIOR
REDEMPTION RISKS
ARBITRAGE
INDEX FUNDS
GUARANTEE
ASSET PRICE
DEVELOPMENT BANK
PORTFOLIO MANAGEMENT
INDIVIDUAL STOCKS
REDEMPTION
INVESTING
INVESTMENT DECISION
Online Access:http://documents.worldbank.org/curated/en/2015/04/24359081/asset-price-effects-peer-benchmarking-evidence-natural-experiment
http://hdl.handle.net/10986/21853

Internet

http://documents.worldbank.org/curated/en/2015/04/24359081/asset-price-effects-peer-benchmarking-evidence-natural-experiment
http://hdl.handle.net/10986/21853

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