VGSF - WU Vienna - LC

Paul Hübner, UCLA

Campus WU D3.0.233 12:00 - 13:00

Organizer WU Vienna

The Fin­ance Brown Bag Sem­inar is held by the In­sti­tute for Fin­ance, Bank­ing and In­sur­ance (WU Vi­enna) and the Vi­enna Gradu­ate School of Fin­ance (VGSF). It serves as a present­a­tion plat­form for PhD stu­dents, fac­ulty mem­bers, and vis­it­ors. An over­view of BBS on the web­site of the In­sti­tute for Fin­ance, Bank­ing and In­sur­ance.

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Paul Hübner, UCLA

Per­sist­ent lat­ent de­mand and long-ho­ri­zon stock re­turns

I doc­u­ment that among US in­sti­tu­tional in­vestors, char­ac­ter­ist­ics only ex­plain around 15-20% of the vari­ation in stock hold­ings re­l­at­ive to mar­ket weights. The re­sid­ual lat­ent vari­ation in de­mand is per­sist­ent over time, and slowly mean-re­verts. Lat­ent de­mand gen­er­ates vari­ation in ex­pec­ted re­turns both at short and at long ho­ri­zons. Between 2000-2020, stocks with low lat­ent de­mand had around 5 per­cent­age points higher re­turns per year than stocks with high lat­ent de­mand across ho­ri­zons that span mul­tiple years. This pat­tern is par­tic­u­larly strong for stocks with more per­sist­ent lat­ent de­mand, sug­gest­ing a role for shock dur­a­tion in un­der­stand­ing what drives low ob­served elast­i­cit­ies for stocks.



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