Dasgupta, Amil 
ORCID: 0000-0001-8474-9470, Prat, Andrea and Verardo, Michela ORCID: 0009-0002-4241-6584
(2011)
Institutional trade persistence and long-term equity returns.
Journal of Finance, 66 (2).
pp. 635-653.
ISSN 0022-1082
Abstract
Recent studies show that single-quarter institutional herding positively predicts short-term returns. Motivated by the theoretical herding literature, which emphasizes endogenous persistence in decisions over time, we estimate the effect of multiquarter institutional buying and selling on stock returns. Using both regression and portfolio tests, we find that persistent institutional trading negatively predicts long-term returns: persistently sold stocks outperform persistently bought stocks at long horizons. The negative association between returns and institutional trade persistence is not subsumed by past returns or other stock characteristics, is concentrated among smaller stocks, and is stronger for stocks with higher institutional ownership.
| Item Type: | Article |
|---|---|
| Official URL: | http://onlinelibrary.wiley.com/journal/10.1111/%28... |
| Additional Information: | © 2011 American Finance Association |
| Divisions: | Economics Finance STICERD |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G3 - Corporate Finance and Governance > G31 - Capital Budgeting; Fixed Investment and Inventory Studies |
| Date Deposited: | 17 Jan 2012 14:19 |
| Last Modified: | 11 Dec 2024 23:59 |
| URI: | http://eprints.lse.ac.uk/id/eprint/41556 |
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