Institutional Investors and Equity Returns: Are Short-term Institutions Better Informed?
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ID: 302177
2007
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Abstract
We show that the positive relation between institutional ownership and future stock returns documented in Gompers and Metrick (2001) is driven by short-term institutions. Furthermore, short-term institutions' trading forecasts future stock returns. This predictability does not reverse in the long run and is stronger for small and growth stocks. Short-term institutions' trading is also positively related to future earnings surprises. By contrast, long-term institutions' trading does not forecast future returns, nor is it related to future earnings news. Our results are consistent with the view that short-term institutions are better informed and they trade actively to exploit their informational advantage.
| Reference Key |
openalex_W3122389145
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|---|---|
| Authors | Xuemin Sterling Yan, Zhe Zhang |
| Journal | review of financial studies |
| Year | 2007 |
| DOI |
10.1093/revfin/hhl046
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| URL | |
| Keywords | Keywords not found |
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