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Institutional holding and market friction
Ping-Wen Sun Louisiana State University psun1@lsu.edu Abstract This study investigates the relationship between the institutional holding and the stock’s market friction measure. According to Sun’s (2007) findings, I use Hou and Moskowitz’s (2005) price delay measure (D1) and Liu’s (2006) liquidity measure (LM12) to proxy for a stock’s market friction. I find that a higher total institutional holding tends to decrease a stock’s price delay measure, but institutional holding exhibits a U-shaped relationship with a stock’s LM12 measure. However, as the number of institutions increases, the stock’s market friction decreases. In terms of different types of institutional holdings, higher total block holding or higher top five institutional holding of a stock increases a stock’s market friction level. Furthermore, in contrast to Agarwal’s (2007) findings, higher independent long term institutional holding and risk averse institutional holding tends to decrease a stock’s market friction level.

Institutional holding and market friction
Abstract This study investigates the relationship between the institutional holding and the stock’s market friction measure. According to Sun’s (2007) findings, I use Hou and Moskowitz’s (2005) price delay measure (D1) and Liu’s (2006) liquidity measure (LM12) to proxy for a stock’s market friction. I find that a higher total institutional holding tends to decrease a stock’s price delay measure, but institutional holding exhibits a U-shaped relationship with a stock’s LM12 measure. However, as the number of institutions increases, the stock’s market friction decreases. In terms of different types of institutional holdings, higher total block holding or higher top five institutional holding of a stock increases a stock’s market friction level. Furthermore, in contrast to Agarwal’s (2007) findings,

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