Herding and feedback trading by institutional and individual investors

被引:735
作者
Nofsinger, JR [1 ]
Sias, RW
机构
[1] Marquette Univ, Milwaukee, WI 53233 USA
[2] Washington State Univ, Pullman, WA 99164 USA
关键词
D O I
10.1111/0022-1082.00188
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We document strong positive correlation between changes in institutional ownership and returns measured over the same period. The result suggests that either institutional investors positive-feedback trade more than individual investors or institutional herding impacts prices more than herding by individual investors. We find evidence that both factors play a role in explaining the relation. We find no evidence, however, of return mean-reversion in the year following large changes in institutional ownership-stocks institutional investors purchase subsequently outperform those they sell. Moreover, institutional herding is positively correlated with lag returns and appears to be related to stock return momentum.
引用
收藏
页码:2263 / 2295
页数:33
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