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Institutional trading and share returns

Foster, Frederick; Gallagher, David R; Looi, Adrian


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]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2011.05.018


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