Publication Type
Journal Article
Version
submittedVersion
Publication Date
2-2009
Abstract
We show that the positive relation between institutional ownership and future stock returns documented in Gompers and Metrick (2001) is driven by short-term institutions. Furthermore, short-term institutions' trading forecasts future stock returns. This predictability does not reverse in the long run and is stronger for small and growth stocks. Short-term institutions' trading is also positively related to future earnings surprises. By contrast, long-term institutions' trading does not forecast future returns, nor is it related to future earnings news. Our results are consistent with the view that short-term institutions are better informed and they trade actively to exploit their informational advantage.
Keywords
Institutional trading, Investment horizon, Return predictability
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Review of Financial Studies
Volume
22
Issue
2
First Page
893
Last Page
924
ISSN
0893-9454
Identifier
10.1093/revfin/hhl046
Publisher
Oxford University Press
Citation
YAN, Xuemin (Sterling) and ZHANG, Zhe.
Institutional investors and equity returns: Are short-term institutions better informed?. (2009). Review of Financial Studies. 22, (2), 893-924.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1082
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1093/revfin/hhl046