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Institutional trading and share returns

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dc.contributor.authorFoster, Frederick
dc.contributor.authorGallagher, David R
dc.contributor.authorLooi, Adrian
dc.date.accessioned2015-12-10T21:54:24Z
dc.date.issued2011
dc.date.updated2016-02-24T11:45:33Z
dc.description.abstractUsing 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.
dc.identifier.issn0378-4266
dc.identifier.urihttp://hdl.handle.net/1885/38925
dc.publisherElsevier
dc.sourceJournal of Banking and Finance
dc.subjectKeywords: Informed trading; Institutional trading; Market impact; Trading behavior
dc.titleInstitutional trading and share returns
dc.typeJournal article
local.bibliographicCitation.lastpage3399
local.bibliographicCitation.startpage3383
local.contributor.affiliationFoster, Frederick, College of Business and Economics, ANU
local.contributor.affiliationGallagher, David R, University of New South Wales
local.contributor.affiliationLooi, Adrian, Marshall Wace
local.contributor.authoruidFoster, Frederick, u4087021
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor150205 - Investment and Risk Management
local.identifier.ariespublicationu8902633xPUB168
local.identifier.citationvolume35
local.identifier.doi10.1016/j.jbankfin.2011.05.018
local.identifier.scopusID2-s2.0-80053385927
local.type.statusPublished Version

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