The dynamics of institutional and individual trading

• 成果类型: Article
• 署名作者: Griffin, JM; Harris, JH; Topaloglu, S
• 署名单位: University of Texas System; University of Texas Austin; University of Delaware; Queens University - Canada
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1046/j.1540-6261.2003.00606.x
• 发表日期: 2003
• 页码: 2285-2320
• 关键词: MUTUAL FUND PERFORMANCE; investment strategies; investors; BEHAVIOR; trades; IMPACT; Herd

摘要

We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23.9% more likely to be bought in net by institutions (and sold by individuals) than those in the bottom performance decile. Strong contemporaneous daily patterns can largely be explained by net institutional (individual) trading positively (negatively) following past intradaily excess stock returns (or the news associated therein). In comparison, evidence of return predictability and price pressure are economically small.