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.
机构:
UNIV ILLINOIS,COLL COMMERCE & BUSINESS ADM,COMMERCE W BLDG,1206 S 6TH ST,CHAMPAIGN,IL 61820UNIV ILLINOIS,COLL COMMERCE & BUSINESS ADM,COMMERCE W BLDG,1206 S 6TH ST,CHAMPAIGN,IL 61820
CHAN, LKC
;
LAKONISHOK, J
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UNIV ILLINOIS,COLL COMMERCE & BUSINESS ADM,COMMERCE W BLDG,1206 S 6TH ST,CHAMPAIGN,IL 61820UNIV ILLINOIS,COLL COMMERCE & BUSINESS ADM,COMMERCE W BLDG,1206 S 6TH ST,CHAMPAIGN,IL 61820
机构:
UNIV ILLINOIS,COLL COMMERCE & BUSINESS ADM,COMMERCE W BLDG,1206 S 6TH ST,CHAMPAIGN,IL 61820UNIV ILLINOIS,COLL COMMERCE & BUSINESS ADM,COMMERCE W BLDG,1206 S 6TH ST,CHAMPAIGN,IL 61820
CHAN, LKC
;
LAKONISHOK, J
论文数: 0引用数: 0
h-index: 0
机构:
UNIV ILLINOIS,COLL COMMERCE & BUSINESS ADM,COMMERCE W BLDG,1206 S 6TH ST,CHAMPAIGN,IL 61820UNIV ILLINOIS,COLL COMMERCE & BUSINESS ADM,COMMERCE W BLDG,1206 S 6TH ST,CHAMPAIGN,IL 61820