Abstract
This paper analyzes the impact of trader composition - i.e., the fraction of total trading volume of a stock accounted for by institutional trading|on the cross-section of stock returns. During 1980-2005, trader composition is significantly different from institutional ownership, a quantity that has received much more attention in the current literature. We find that major stock market anomalies, such as return momentum, post earnings-announcement drift, value premium, and investment effect are significantly stronger in stocks with lower institutional trading volume. Furthermore, stocks with lower institutional volume underperform stocks with higher institutional volume by 0.25% to 0.53% per month depending on different return adjustments. These findings suggest a positive relationship between fraction of institutional trading volume and stock price efficiency.
Sign-in/Register to access full text options 
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
