Institutional Investors and Equity Returns: Are Short-term Institutions Better Informed?

被引:494
作者
Yan, Xuemin [2 ]
Zhang, Zhe [1 ]
机构
[1] Singapore Management Univ, Lee Kong Chian Sch Business, Singapore 178899, Singapore
[2] Univ Missouri, Columbia, MO 65211 USA
关键词
STOCK; PERFORMANCE; IMPACT; EARNINGS; MARKET;
D O I
10.1093/revfin/hhl046
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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.
引用
收藏
页码:893 / 924
页数:32
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