Replication Data: Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Creators:
Andrea M. Buffa and Idan Hodor
Publication Date:
2022-11-04
Data Category:
Dataset Description:
This dataset, hosted on Mendeley Data, contains the replication data for the study "Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices" (Buffa & Hodor, 2023, Journal of Financial Economics). It includes fund-level and stock-level data used to examine how institutional investors with heterogeneous benchmark indices, such as different index compositions, generate excess co-movement among asset prices, and the implications for price discovery and market efficiency.
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