Institutional trading and share returns

被引：18

作者：

Foster, F. Douglas ^{[2
]}

Gallagher, David R. ^{[1
,3
]}

Looi, Adrian ^{[4
]}

机构：

[1] Macquarie Grad Sch Management, Sydney, NSW 2109, Australia

[2] Australian Natl Univ, Sch Finance Actuarial Studies & Appl Stat, Canberra, ACT 0200, Australia

[3] Capital Markets CRC Ltd, Sydney, NSW 2000, Australia

[4] Marshall Wace, London, England

来源：

JOURNAL OF BANKING & FINANCE | 2011年 / 35卷 / 12期

关键词：

Trading behavior; Informed trading; Market impact; Institutional trading; INVESTMENT STRATEGIES; MOMENTUM STRATEGIES; SECURITIES MARKETS; STOCK-PRICES; BEHAVIOR; TRADES; PERFORMANCE; INFORMATION; INVESTORS; IMPACT;

D O I：

10.1016/j.jbankfin.2011.05.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a unique database of daily transactions from Australian equity managers, we investigate the relation between institutional trading and share returns. The 34 institutional investors included in our sample exhibit a statistically and economically significant ability to predict large capitalization share returns for the ten days following their trades. Detailed analysis indicates that investment manager style is important in understanding the link between institutional trading and stock returns. The contemporaneous relation between institutional trading and returns depends on trade size, broker use, and investment style. We find growth-oriented managers are momentum traders, while style-neutral and value managers are contrarian. (C) 2011 Published by Elsevier B.V.

引用

页码：3383 / 3399

页数：17

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