Changes in Institutional Ownership and Stock Returns: Assessment and Methodology

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

Journal of Business, 2006, vol. 79, issue 6, pages 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
View citations in EconPapers

Downloads: (external link)
http://www.journals.uchicago.edu/cgi-bin/resolve?JB790605 main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Ordering information: This journal article can be ordered from
http://www.journals.uchicago.edu/JB/home.html

Access Statistics for this article

Journal of Business is edited by Albert Madansky

More articles in Journal of Business from University of Chicago Press
Address: The University of Chicago Press, Journals Division, P.O. Box 37005 Chicago, IL 60637
Series data maintained by Christopher F. Baum ().