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| Tekijä: | Griffin, J. M. Harris, J. H. Topaloglu, S. |
| Otsikko: | The dynamics of institutional and individual trading |
| Lehti: | Journal of Finance
2003 : DEC, VOL. 58:6, p. 2285-2320 |
| Asiasana: | Stock returns Investors Institutional investors Trading |
| Kieli: | eng |
| Tiivistelmä: | The authors 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 conrtemporaneous daily patterns can largely be explained by net institutional (individual) trading positively (negatively) following past intradaily excess stock returns. In comparison, evidence of return predictability and price pressure are economically small. |
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