Institutional trading and share returns |
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| Authors: | F Douglas Foster David R Gallagher Adrian Looi |
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| Institution: | 1. Department of Economics, University of Texas at San Antonio, USA;2. Department of Banking and Finance, National Chi Nan University, Taiwan;1. Department of Acc. & Finance, School of Management and Economics, Technological Educational Institute of Peloponnese, Antikalamos 241 00, Greece;2. Department of Acc. & Finance, Athens University of Economics & Business, 76 Patission Str., Athens GR10434, Greece;3. ESCA School of Management, 7, Abou Youssef El Kindy Street, BD Moulay Youssef, Casablanca, Morocco |
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| 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. |
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