Herding and feedback trading by institutional and individual investors

• 成果类型: Article
• 署名作者: Nofsinger, JR; Sias, RW
• 署名单位: Marquette University; Washington State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00188
• 发表日期: 1999
• 页码: 2263-2295
• 关键词: closed-end funds; financial-markets; SENTIMENT INDEX; returns; performance; INVESTMENT; discounts; BEHAVIOR; RISK; strategies

摘要

We document strong positive correlation between changes in institutional ownership and returns measured over the same period. The result suggests that either institutional investors positive-feedback trade more than individual investors or institutional herding impacts prices more than herding by individual investors. We find evidence that both factors play a role in explaining the relation. We find no evidence, however, of return mean-reversion in the year following large changes in institutional ownership-stocks institutional investors purchase subsequently outperform those they sell. Moreover, institutional herding is positively correlated with lag returns and appears to be related to stock return momentum.