Institutional Investors and Equity Returns: Are Short-term Institutions Better Informed?

• 成果类型: Article
• 署名作者: Yan, Xuemin (Sterling); Zhang, Zhe
• 署名单位: Singapore Management University; University of Missouri System; University of Missouri Columbia
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/revfin/hhl046
• 发表日期: 2009
• 页码: 893
• 关键词: stock; performance; IMPACT; earnings; MARKET

摘要

We show that the positive relation between institutional ownership and future stock returns documented in Gompers and Metrick (2001) is driven by short-term institutions. Furthermore, short-term institutions trading forecasts future stock returns. This predictability does not reverse in the long run and is stronger for small and growth stocks. Short-term institutions trading is also positively related to future earnings surprises. By contrast, long-term institutions trading does not forecast future returns, nor is it related to future earnings news. Our results are consistent with the view that short-term institutions are better informed and they trade actively to exploit their informational advantage.