Institutional investors and equity returns: Are short-term institutions better informed?

• Main Authors: YAN, Xuemin (Sterling), ZHANG, Zhe
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2009
• 主題: Institutional trading; Investment horizon; Return predictability; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/1082; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2081/viewcontent/Institutional_investors_and_equity_returns_pp.pdf
• 機構: Singapore Management University

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 lo...