Title

Institutional trading and share returns

RIS ID

118621

Publication Details

Foster, F. Douglas., Gallagher, D. R. & Looi, A. (2011). Institutional trading and share returns. Journal of Banking and Finance, 35 (12), 3383-3399.

Abstract

Using a unique database of daily transactions from Australian equity managers, we investigate the relation between institutional trading and share returns. The 34 institutional investors included in our sample exhibit a statistically and economically significant ability to predict large capitalization share returns for the ten days following their trades. Detailed analysis indicates that investment manager style is important in understanding the link between institutional trading and stock returns. The contemporaneous relation between institutional trading and returns depends on trade size, broker use, and investment style. We find growth-oriented managers are momentum traders, while style-neutral and value managers are contrarian. 2011.

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Link to publisher version (DOI)

http://dx.doi.org/10.1016/j.jbankfin.2011.05.018