Abstract

I investigate the relation between long-term institutional trades and future returns, and find that the cumulative number of shares purchased in net by financial institutions over the prior ten quarters is negatively related to future returns. A long-short portfolio constructed on this measure earns an annualized average Carhart alpha of 9.9%. Overall, I find that long-term institutional trades contain information about future returns that is not already captured by existing short-term institutional trades measures.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.