Return autocorrelation and institutional investors

• 成果类型: Article
• 署名作者: Sias, RW; Starks, LT
• 署名单位: University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00026-3
• 发表日期: 1997
• 页码: 103-131
• 关键词: Return autocorrelation; institutional investors; EFFICIENCY

摘要

We propose and test the hypothesis that trading by institutional investors contributes to serial correlation in daily returns. Our results demonstrate that NYSE portfolio and individual security daily return autocorrelations are an increasing function of the level of institutional ownership. Moreover, the results are consistent with the hypothesis that institutional trading reflects information and increases the speed of price adjustment. The relation between autocorrelation and institutional holdings does not, however, appear to be driven by market frictions or rational time-varying required rates of return. We conclude that institutional investors' correlated trading patterns contribute to serial correlation in daily returns.