Changes in Institutional Ownership and Stock Returns: Assessment and Methodology

Richard W. Sias and Laura T. Starks
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Richard W. Sias: Washington State University
Laura T. Starks: University of Texas

The Journal of Business, 2006, vol. 79, issue 6, 2869-2910

Abstract: Although the relation between quarterly changes in institutional investor ownership and contemporaneous stock returns is well documented, the source of the relation remains unclear because institutional ownership data are unavailable at higher frequencies. In this study, we develop a method to generate estimates of higher frequency covariances when one variable is observed at lower frequencies (e.g., quarterly changes in institutional ownership and monthly stock returns). Our method provides evidence that institutional trading has both temporary and permanent price effects and that the latter is associated with information effects.

Date: 2006
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Citations: View citations in EconPapers (125)

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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:79:y:2006:i:6:p:2869-2910

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