Institutional investors and equity returns: Are short-term institutions better informed

Review of Financial Studies

Volumn 22, Issue 2, 2009, Pages 893-924

  Yan, Xuemin ^a   Zhang, Zhe ^b  

^a UNIVERSITY OF MISSOURI   (United States)

^b SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 59449085531     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/revfin/hhl046     Document Type: Article

References (35)

1. Alexander, G., G. Cici, and S. Gibson. 2006. Does Trade Motivation Matter? An Analysis of Mutual Fund Trades. forthcoming in Review of Financial Studies.
2. Badrinath, S., and S. Wahal. 2001. Momentum Trading by Institutions. Journal of Finance 57:2449-78.
3. Baker, M., L. Litov, J. Wachter, and J. Wurgler. 2004. Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements. NBER Working Paper.
4. Barber, B., and T. Odean. 2000. Trading Is Hazardous to Your Wealth: the Common Stock Investment Performance of Individual Investors. Journal of Finance 55:773-806.
5. Bennett, J., R. Sias, and L. Starks. 2003. Greener Pastures and the Impact of Dynamic Institutional Preferences. Review of Financial Studies 16:1203-38.
6. Brancato, C. 1997. Institutional Investors and Corporate Governance: Best Practices for Increasing Corporate Value. Chicago: Irwin Professional Publishers.
7. Bushee, B. 1998. The Influence of Institutional Investors on Myopic R&D Investment Behavior. The Accounting Review 73:305-33.
8. Bushee, B. 2001. Do Institutional Investors Prefer Near-Term Earnings over Long-Run Value? Contemporary Accounting Research 18:207-46.
9. Bushee, B. 2004. Identifying and Attracting the "Right" Investors: Evidence on the Behavior of Institutional Investors. Journal of Applied Corporate Finance 16:28-35.
10. Cai, F., and L. Zheng. 2004. Institutional Trading and Stock Returns. Finance Research Letters 1:178-89.
11. Carhart, M. 1997. On Persistence in Mutual Fund Performance. Journal of Finance 52:57-82.
12. Chen, H., N. Jegadeesh, and R. Wermers. 2000. The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers. Journal of Financial and Quantitative Analysis 35:343-68.
13. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers. 1997. Measuring Mutual Fund Performance with Characteristic-Based Benchmarks. Journal of Finance 52:1035-58.
14. Del Guercio, D. 1996. The Distorting Effect of the Prudent-Man Laws on Institutional Equity Investment. Journal of Financial Economics 40:31-62.
15. Falkenstein, E. 1996. Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings. Journal of Finance 51:111-35.
16. Fama, E., and K. French. 1992. The Cross-Section of Expected Stock Returns. Journal of Finance 47:427-65.
17. Fama, E., and J. Macbeth. 1973. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy 81:607-36.
18. Gaspar, J., M. Massa, and P. Matos. 2005. Shareholder Investment Horizons and the Market for Corporate Control. forthcoming in Journal of Financial Economics 76:135-65.
19. Gompers, P., and A. Metrick. 2001. Institutional Investors and Equity Prices. Quarterly Journal of Economics 116:229-59.
20. Griffin, J., J. Harris, and S. Topaloglu. 2003. The Dynamics of Institutional and Individual Trading. Journal of Finance 58:2285-320.
21. Grinblatt, M., and S. Titman. 1989. Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. Journal of Business 62:394-415.
22. Grinblatt, M., S. Titman, and R. Wermers. 1995. Momentum, Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior. American Economic Review 85:1088-105.
23. Grossman, S., and J. Stiglitz. 1980. On the Impossibility of Informationally Efficient Markets. American Economic Review 70:393-408.
24. Jegadeesh, N., and S. Titman. 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48:65-91.
25. Ke, B., and K. Petroni. 2004. How Informed Are Actively Trading Institutional Investors? Evidence from Their Trading Behavior Before a Break in a String of Consecutive Earnings Increases. Journal of Accounting Research 42:895-927.
26. Ke, B., and S. Ramalingegowda. 2005. The Effect of Investment Horizon on Institutional Investors' Incentives to Acquire Private Information on Long-Term Earnings, working paper, Pennsylvania State University.
27. Lakonishok, J., A. Shleifer, and R. Vishny. 1992. The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics 32:23-43.
28. Nofsinger, J., and R. Sias. 1999. Herding and Feedback Trading by Institutional and Individual Investors. Journal of Finance 54:2263-95.
29. Odean, T. 1998. Volume, Volatility, Price, and Profit When All Traders Are Above Average. Journal of Finance 53:1887-934.
30. Porter, M. 1992. Capital choices: Changing the way America Invests in Industry. Council on Competitiveness/Harvard Business School.
31. Sias, R. 2004. Institutional Herding. Review of Financial Studies 17:165-206.
32. Sias, R. 2005. Are Institutions Momentum Traders? working paper, Washington State University.
33. Sias, R., L. Starks, and S. Titman. 2006. Changes in Institutional Ownership and Stock Returns: Assessment and Methodology. Journal of Business 79:2869-910.
34. Wermers, R. 1999. Mutual Fund Herding and the Impact on Stock Prices. Journal of Finance 54:581-622.
35. Wermers, R. 2000. Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses. Journal of Finance 55:1655-95.