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สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์
Puey Ungphakorn
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Call for Papers: PIER Research Workshop 2025
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Discussion Paperdp
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11 October 2018
20181539216000000
No. 097

Institutional Capital Allocation and Equity Returns: Evidence from Thai Mutual Funds' Holdings

Abstract

Information about mutual funds' stock holdings can provide useful signal for investors. In this study, we show that portfolio of stocks that are not favored by mutual funds tend to perform poorly, with monthly returns of 0.38% to 0.82% lower than stocks more widely held. When compared against asset pricing models, portfolio of such stocks can have monthly alphas as low as -0.33%, and the reason seems unrelated to stock-picking ability. One possible explanation is that demand from institutional investors can drive up stock prices, highlighting the importance of investor clientele in emerging market asset pricing.

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JEL: G11G23
Tags: mutual funds returnsinvestment horizonasset pricinginstitutional ownership
The views expressed in this workshop do not necessarily reflect the views of the Puey Ungphakorn Institute for Economic Research or the Bank of Thailand.
Roongkiat Ratanabanchuen
Roongkiat Ratanabanchuen
Chulalongkorn Business School
Kanis Saengchote
Kanis Saengchote
Chulalongkorn University

Puey Ungphakorn Institute for Economic Research

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Phone: 0-2283-6066

Email: pier@bot.or.th

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