Institutional Trading and Near-Term Stock Returns

Bernd Hanke, Garrett Quigley, David Stolin and Maxim Zagonov

Finance, 2018, vol. 39, issue 3, 7-43

Abstract: It is common for investment practitioners and commentators to link security returns with the level of institutional demand for these securities. The academic literature on linking (changes in) institutional holdings and subsequent stock returns has now reached critical mass. However, most of the evidence is US based with institutional holdings disclosed on an infrequent (i.e. at most quarterly) basis and reported with a substantial delay. Our paper, on the other hand, uses comprehensive UK institutional holdings data which are disclosed on a monthly basis and in a timelier manner. This allows us to conduct a cleaner analysis and helps gain insight into shorter-term linkages between institutional trading and returns. In contrast to US findings, we find no evidence that institutional trading significantly moves prices in the concurrent month, or that institutional trading positively predicts near-term returns. In fact, portfolios that are long stocks with little institutional trading activity outperform portfolios of actively traded stocks by up to 1 percent per month.

Keywords: institutional investors; stock returns; trading; herding; UK (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=FINA_393_0007 (application/pdf)
http://www.cairn.info/revue-finance-2018-3-page-7.htm (text/html)
free

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: https://EconPapers.repec.org/RePEc:cai:finpug:fina_393_0007

Access Statistics for this article

More articles in Finance from Presses universitaires de Grenoble
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().