The Interim Trading Skills of Institutional Investors

Journal of Finance

Volumn 66, Issue 2, 2011, Pages 601-633

  Puckett, Andy ^a   Yan, Xuemin Sterling ^b  

^a UNIVERSITY OF TENNESSEE   (United States)

^b UNIVERSITY OF MISSOURI   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79952808659     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2010.01643.x     Document Type: Article

References (67)

1. Alexander, Gordon J., Gjergji Cici, and Scott Gibson, 2007, Does motivation matter when assessing trade performance? An analysis of mutual funds, Review of Financial Studies 20, 125-150.
2. Amihud, Yakov, 2002, Illiquidity and stock returns: Cross-section and time series effects, Journal of Financial Markets 5, 31-56.
3. Bennett, James A., Richard W. Sias, and Laura T. Starks, 2003, Greener pastures and the impact of dynamic institutional preferences, Review of Financial Studies 16, 1203-1238.
4. Berk, Jonathan B., and Richard C. Green, 2004, Mutual fund flows and performance in rational markets, Journal of Political Economy 112, 1269-1295.
5. Bollen, Nicholas P. B., and Jeffrey A. Busse, 2005, Short-term persistence in mutual fund performance, Review of Financial Studies 18, 569-597.
6. Brown, Nerissa C., Kelsey D. Wei, and Russ Wermers, 2009, Analyst recommendations, mutual fund herding, and overreaction in stock prices, Working paper, University of Maryland.
7. Brown, Stephen J., and William N. Goetzmann, 1995, Performance persistence, Journal of Finance 50, 679-698.
8. Busse, Jeffrey A., Amit Goyal, and Sunil Wahal, 2010, Performance and persistence in institutional investment management, Journal of Finance 65, 765-790.
9. Busse, Jeffrey A., T. Clifton Green, and Narasimhan Jegadeesh, 2010, Buy-side trades and sell-side recommendations: Interactions and information content, Journal of Financial Markets (forthcoming).
10. Busse, Jeffrey A., and Paul Irvine, 2006, Bayesian alphas and mutual fund persistence, Journal of Finance 61, 2251-2288.
11. Cai, Fang, and Lu Zheng, 2004, Institutional trading and stock returns, Finance Research Letters 1, 178-189.
12. Campbell, John Y., Tarun Ramadorai, and Allie Schwartz, 2009, Caught on tape: Institutional trading, stock returns, and earnings announcements, Journal of Financial Economics 92, 66-91.
13. Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
14. Chan, Louis K. C., and Josef Lakonishok, 1993, Institutional trades and intraday stock price behavior, Journal of Financial Economics 33, 173-199.
15. Chan, Louis K. C., and Josef Lakonishok, 1995, The behavior of stock prices around institutional trades, Journal of Finance 50, 1147-1174.
16. Chemmanur, Thomas J., Shan He, and Gang Hu, 2009, The role of institutional investors in seasoned equity offerings, Journal of Financial Economics 94, 384-411.
17. Chen, Hsiu-Lang, Narasimhan Jegadeesh, and Russ 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, 343-368.
18. Chen, Joseph, Harrison Hong, Ming Huang, and Jeffrey D. Kubik, 2004, Does fund size erode mutual fund performance? The role of liquidity and organization, American Economic Review 94, 1276-1302.
19. Cohen, Randolph B., Joshua D. Coval, and Ľuboš Pástor, 2005, Judging fund managers by the company they keep, Journal of Finance 60, 1057-1096.
20. Cremers, K. J. Martijn, and Antti Petajisto, 2009, How active is your fund manager? A new measure that predicts performance, Review of Financial Studies 22, 3329-3365.
21. Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.
22. Dasgupta, Amil, Andrea Prat, and Michela Verardo, 2011, Institutional trade persistence and long-term equity returns, Journal of Finance 66, 635-654.
23. Duan, Ying, Gang Hu, and R. David McLean, 2009, When is stock picking likely to be successful? Evidence from mutual funds, Financial Analysts Journal 65, 55-65.
24. Edelen, Roger M., Richard B. Evans, and Gregory B. Kadlec, 2009, Scale effects in mutual fund performance: The role of trading costs, Working paper, University of Virginia.
25. Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996, The persistence of risk-adjusted mutual fund performance, The Journal of Business 69, 133-157.
26. Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 2010, Holdings data, security returns, and the selection of superior mutual funds, Journal of Financial and Quantitative Analysis (forthcoming).
27. Elton, Edwin J., Martin J. Gruber, Christopher R. Blake, Yoel Krasny, and Sadi O. Ozelge, 2010, The effect of holdings data frequency on conclusions about mutual fund behavior, Journal of Banking and Finance 34, 912-922.
28. Fama, Eugene F., and Kenneth R. French, 2010, Luck versus skill in the cross section of mutual fund returns, Journal of Finance 65, 1915-1947.
29. Fang, Lily, and Joel Peress, 2009, Media coverage and the cross-section of stock returns, Journal of Finance 64, 2023-2052.
30. French, Kenneth R., 2008, Presidential address: The cost of active investing, Journal of Finance 63, 1537-1573.
31. Glode, Vincent, 2010, Why mutual funds "underperform, "Journal of Financial Economics (forthcoming).
32. Goetzmann, William N., and Roger G. Ibbotson, 1994, Do winners repeat: Patterns in mutual fund return behavior, Journal of Portfolio Management 20, 9-18.
33. Goldstein, Michael A., Paul Irvine, Eugene Kandel, and Zvi Wiener, 2009, Brokerage commissions and institutional trading patterns, Review of Financial Studies 22, 5175-5212.
34. Goldstein, Michael A., Paul Irvine, and Andy Puckett, 2010, Purchasing IPOs with commissions, Journal of Financial and Quantitative Analysis (forthcoming).
35. Gompers, Paul A. and Andrew Metrick, 2001, Institutional investors and equity prices, Quarterly Journal of Economics 116, 229-259.
36. Griffin, John M., Jeffrey H. Harris, and Selim Topaloglu, 2003, The dynamics of institutional and individual trading, Journal of Finance 58, 2285-2320.
37. Grinblatt, Mark, and Sheridan Titman, 1992, The persistence of mutual fund performance, Journal of Finance 47, 1977-1984.
38. Grossman, Sanford J., and Joseph E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
39. Gruber, Martin J., 1996, Another puzzle: The growth in actively managed mutual funds, Journal of Finance 51, 783-810.
40. Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser, 1993, Hot hands in mutual funds: Short-run persistence of relative performance 1974-1988, Journal of Finance 48, 93-130.
41. Hirshleifer, David, Avanidhar Subrahmanyam, and Sheridan Titman, 1994, Security analysis and trading patterns when some investors receive information before others, Journal of Finance 49, 1665-1698.
42. Jame, Russell E., 2010, Organizational structure and fund performance: Pension funds versus mutual funds, Working paper, Emory University.
43. Jensen, Michael C., 1968, The performance of mutual funds in the period 1945-1964, Journal of Finance 23, 389-416.
44. Jones, Charles M., and Marc L. Lipson, 2001, Sixteenths: Direct evidence on institutional execution costs, Journal of Financial Economics 59, 253-278.
45. Kacperczyk, Marcin, and Amit Seru, 2007, Fund manager use of public information: New evidence on managerial skills, Journal of Finance 62, 485-528.
46. Kacperczyk, Marcin, Clemens Sialm, and Lu Zheng, 2005, On the industry concentration of actively managed equity mutual funds, Journal of Finance 60, 1983-2011.
47. Kacperczyk, Marcin, Clemens Sialm, and Lu Zheng, 2008, Unobserved actions of mutual funds, Review of Financial Studies 21, 2379-2416.
48. Kacperczyk, Marcin, Stijn Van Nieuwerburgh, and Laura Veldkamp, 2009, Attention allocation over the business cycle, Working paper, New York University.
49. Kosowski, Robert, 2006, Do mutual funds perform when it matters most to investors? U.S. mutual fund performance and risk in recessions and expansions, Working paper, Imperial College.
50. Kosowski, Robert, Allan Timmermann, Russ Wermers, and Hal White, 2006, Can mutual fund "stars" really pick stocks? New evidence from a bootstrap analysis, Journal of Finance 61, 2551-2595.
51. Kothari, S. P., and Jerold B. Warner, 2001, Evaluating mutual fund performance, Journal of Finance 56, 1985-2010.
52. Lewellen, Jonathan, 2009, Institutional investors and the limits of arbitrage, Journal of Financial Economics (forthcoming).
53. Lynch, Anthony W., and Jessica A. Wachter, 2007, Does mutual fund performance vary over the business cycle? Working paper, New York University.
54. Mamaysky, Harry, Matthew Spiegel, and Hong Zhang, 2008, Estimating the dynamics of mutual fund alphas and betas, Review of Financial Studies 21, 233-264.
55. Moskowitz, Tobias J., 2000, Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses: Discussion, Journal of Finance 55, 1695-1703.
56. Moulton, Brent R., 1986, Random group effects and the precision of regression estimates, Journal of Econometrics 32, 385-397.
57. Odean, Terrance, 1998, Are investors reluctant to realize their losses Journal of Finance 53, 1775-1798.
58. Pomorski, Lukasz, 2009, Acting on the most valuable information: "Best idea" trades of mutual fund managers, Working paper, University of Toronto.
59. Pontiff, Jeffrey, 1996, Costly arbitrage: Evidence from closed-end funds, Quarterly Journal of Economics 111, 1135-1151.
60. Pontiff, Jeffrey, 2006, Costly arbitrage and the myth of idiosyncratic risk, Journal of Accounting and Economics 42, 35-52.
61. Puckett, Andy, and Xuemin Yan, 2010, Short-term institutional herding and its impact on stock prices, Working paper, University of Tennessee.
62. Shleifer, Andrei, and Robert W. Vishny, 1997, The limits of arbitrage, Journal of Finance 52, 35-55.
63. Thompson, Samuel, 2011, Simple formulas for standard errors that cluster by both firm and time, Journal of Financial Economics 81, 101-141.
64. Wermers, Russ, 2000, Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses, Journal of Finance 55, 1655-1695.
65. Wermers, Russ, 2001, The potential effects of more frequent portfolio disclosure on mutual fund performance, Perspective(The Investment Company Institute) 7, 1-12.
66. Yan, Xuemin, 2008, Liquidity, investment style, and the relation between fund size and fund performance, Journal of Financial and Quantitative Analysis 43, 741-768.
67. Yan, Xuemin and Zhe Zhang, 2009, Institutional investors and equity returns: Are short-term institutions better informed Review of Financial Studies 22, 893-924.