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| Author: | Campbell, J. Y. Ramadorai, T. Schwartz, A. |
| Title: | Caught on tape: Institutional trading, stock returns, and earnings announcements |
| Journal: | Journal of Financial Economics
2009 : APR, VOL 92:1, p. 66-91 |
| Index terms: | institutions trading stock returns USA |
| Language: | eng |
| Abstract: | Institutions are required to report their ownership quarterly (in US). This article investigates daily institutional trading behavior using data obtained from the Transactions and Quotes database of New York Stock Exchange. The findings show that the daily transactions respond positively to recent daily returns, but negatively to long-term past returns. The trades also seem to result in short-term losses and long-term profits. The article provides different results that those found out using a standard size cutoff rule in the studies of institutional trades. |
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