Institutional trading and share returns
Using a unique database of daily transactions from Australian equity managers,we investigate the relation between institutional trading and share returns. Our sample of institutional investors exhibit statistically and economically significant predictive power in forecasting future stock returns over the ten days following their trades. Detailed analysis indicates that manager style is important in understanding the link between institutional trading and stock returns. We find growth-oriented managers are momentum traders,while style-neutral and value managers are contrarian. Further,the contemporaneous relation between institutional trading and returns depends on trade size,broker use,and investment style; trades and returns are inversely related for value/contrarian managers and directly related for style-neutral and growth managers.
trading behavior informed trading market impact institutional trading
F.Douglas Foster David R.Gallagher Adrian Looi
School of Finance and Applied Statistics,The Australian National University,Canberra,A.C.T.0200 AUST School of Banking and Finance,The University of New South Wales,Sydney,N.S.W.2052 AUSTRALIA School of Banking and Finance,The University of New South Wales,Sydney,N.S.W.2052 AUSTRALIA;Barclays
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）