Equity style returns and institutional investor flows
By: Kenneth Froot and Melvyn Teo
Contributors: Froot, Kenneth; Harvard Business School. Division of Research
Series: Working paper / Division of Research, Harvard Business School -- 04-048; Working paper (Harvard Business School. Division of Research) -- 04-048
Publisher: Division of Research, Harvard Business School
Published: 2004
Place of publication: Boston
Language: eng
Number of pages: 35
Description: This paper explores institutional investor trades in stocks grouped by style and the relationship of these trades with equity market returns. It aggregates transactions drawn from a large universe of approximately $6 trillion of institutional funds. To analyze style behavior, we assign equities to deciles in each of five style dimensions: size, value/growth, cyclical/defensive, sector, and country.
Notes: "This version: January 2004"--Added t.p.

Includes bibliographical references.