Institutional trading and share returns
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...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Banking and Finance|
|01_Foster_Institutional_trading_and_2011.pdf||290.67 kB||Adobe PDF||Request a copy|
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