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Institutional Trading And Share Returns
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Book Synopsis Institutional Trading and Share Returns by : F. Douglas Foster
Download or read book Institutional Trading and Share Returns written by F. Douglas Foster and published by . This book was released on 2011 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique database of daily transactions from Australian equity managers, we investigate the relation between institutional trading and share returns. The 34 institutional investors included in our sample exhibit a statistically and economically significant ability to predict large capitalization share returns for the ten days following their trades. Detailed analysis indicates that investment manager style is important in understanding the link between institutional trading and stock returns. The contemporaneous relation between institutional trading and returns depends on trade size, broker use, and investment style. We find growth-oriented managers are momentum traders, while style-neutral and value managers are contrarian.
Book Synopsis Institutional Trading and Stock Returns by : Fang Cai
Download or read book Institutional Trading and Stock Returns written by Fang Cai and published by . This book was released on 2002 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Net Share Issuance, Institutional Trading, and Stock Market Returns by : Yinfei Chen
Download or read book Net Share Issuance, Institutional Trading, and Stock Market Returns written by Yinfei Chen and published by . This book was released on 2016 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the second essay, I examine whether the cross-sectional NSI effect extends to the time-series level. I find that aggregate NSI negatively predicts future stock market returns, which is consistent with the cross-sectional NSI effect. The predicting power is statistically strong and economically large both in and out-of-sample. In addition, I provide evidence that the market-level net share issuance effect is stronger during periods with high investor sentiment. Moreover, aggregate net share issuance is not only positively related to contemporaneous and lagged stock market returns but also negatively related to analyst forecast errors. I interpret these findings as evidence that mispricing is more likely the source of the NSI effect.
Book Synopsis Caught on tape : institutional order flow and stock returns by : John Y. Campbell
Download or read book Caught on tape : institutional order flow and stock returns written by John Y. Campbell and published by . This book was released on 2005 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Many questions about institutional trading can only be answered if one can track high-frequency changes in institutional ownership. In the US, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the "tape", the Transactions and Quotes database of the New York Stock Exchange, using both a naive approach and a sophisticated method that best matches quarterly 13-F data. Increases in our measures of institutional flows negatively predict returns, particularly when institutions are selling. We interpret this as evidence that 13-F institutions compensate more patient investors for the service of providing liquidity. We also find that both very large and very small trades signal institutional activity, while medium size trades signal activity by the rest of the market"--National Bureau of Economic Research web site.
Book Synopsis Institutional Investors and Corporate Governance by : Theodor Baums
Download or read book Institutional Investors and Corporate Governance written by Theodor Baums and published by Walter de Gruyter. This book was released on 2011-05-02 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume contains 23 articles by international experts, both scholars and practioners dealing with the development of institutional investors (such as banks, insurances, investment companies, pension funds etc.), their investment and voting policies, the impact on managements of the companies concerned and related issues. The consequences of the international development on capital markets as well as policy implications for the respective national legislations are treated.
Book Synopsis The Effect of Net Institutional Trading Imbalances on Stock Prices by : William J. Atkinson
Download or read book The Effect of Net Institutional Trading Imbalances on Stock Prices written by William J. Atkinson and published by . This book was released on 1981 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Institutional Investors and Equity Returns by : Xuemin (Sterling) Yan
Download or read book Institutional Investors and Equity Returns written by Xuemin (Sterling) Yan and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that the positive relation between institutional ownership and future stock returns documented in Gompers and Metrick () is driven by short-term institutions. Furthermore, short-term institutions' trading forecasts future stock returns. This predictability does not reverse in the long run and is stronger for small and growth stocks. Short-term institutions' trading is also positively related to future earnings surprises. By contrast, long-term institutions' trading does not forecast future returns, nor is it related to future earnings news. Our results are consistent with the view that short-term institutions are better informed and they trade actively to exploit their informational advantage.
Book Synopsis Institutional Trading and Corporate Performance by : Mark Lang
Download or read book Institutional Trading and Corporate Performance written by Mark Lang and published by . This book was released on 1997 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Caught on Tape by : John Y. Campbell
Download or read book Caught on Tape written by John Y. Campbell and published by . This book was released on 2007 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis ESG Preference, Institutional Trading, and Stock Return Patterns by : Jie Cao
Download or read book ESG Preference, Institutional Trading, and Stock Return Patterns written by Jie Cao and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Socially responsible (SR) institutions tend to focus more on the ESG performance and less on quantitative signals of value. Consistent with this difference in focus, we find that SR institutions react less to quantitative mispricing signals. Our evidence suggests that the increased focus on ESG may have influenced stock return patterns. Specifically, abnormal returns associated with these mispricing signals are greater for stocks held more by SR institutions. The link between SR ownership and the efficacy of mispricing signals only emerges in recent years with the rise of ESG investing, and is significant only when there are arbitrage-related funding constraints.
Book Synopsis The Impact of Institutional Trading on Stock Return Volatility by : Tom E. Thomas
Download or read book The Impact of Institutional Trading on Stock Return Volatility written by Tom E. Thomas and published by . This book was released on 1985 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Independent Institutional Investors and Equity Returns by : Yawen Jiao
Download or read book Independent Institutional Investors and Equity Returns written by Yawen Jiao and published by . This book was released on 2011 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds that the well-documented positive relation between institutional ownership and future equity returns (e.g., Gompers and Metrick, 2001) comes almost entirely from independent institutions. Independent institutional trading predicts future stock returns with no long-run price reversal, and is positively related to future earnings surprises (relative to analyst expectations) and earnings announcement abnormal returns. In contrast, grey institutions (institutional investors that have existing or potential business relationships with firms in which they invest) have no such predictive power. Independent institutions' predictive power comes from their advantage in information production instead of their willingness to monitor: (1) the predictive power of independent institutional trading exists only among firms with high information production costs, but not among firms with low information production costs; (2) independent institutional trading is not associated with subsequent industry-adjusted operating performance.
Book Synopsis Options Trading for the Institutional Investor by : Michael C. Thomsett
Download or read book Options Trading for the Institutional Investor written by Michael C. Thomsett and published by FT Press. This book was released on 2014-03-18 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: To protect portfolios in today's volatile and uncertain market environment, institutional investors need to hedge losses, create extra sources of income, and reduce risk. In his extensively updated and expanded Options Trading for the Institutional Investor, Third Edition, renowned options expert Michael C. Thomsett shows how to do all this effectively. One step at a time, Thomsett helps institutional investors exploit powerful, carefully chosen options strategies that can dramatically increase overall returns as you manage risks within your institution's limits. Thomsett discusses covered call writing on carefully selected stocks, contingent purchase strategies, and powerful "combination" strategies that produce cash to bolster current income. He guides professional investors through every strategy, using actual examples, portfolios, and graphs taken directly from today's markets. Wherever applicable, he addresses specific forms of risk and volatility that only institutional investors face. This thoroughly updated Third Edition includes a chart-based analytical method that relies on reversal signals in the underlying as an alternative to volatility analysis. Thomsett presents new chapters on two powerful strategies he has developed and utilized to optimize returns while minimizing risk: the 1-2-3 Iron Butterfly, and the Dividend Collar. This edition also adds detailed new coverage of risk evaluation.
Book Synopsis Brookings Papers on Economic Activity by :
Download or read book Brookings Papers on Economic Activity written by and published by . This book was released on 1999 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Dynamics of Individual and Institutional Trading on the Shanghai Stock Exchange by : Bong-Soo Lee
Download or read book The Dynamics of Individual and Institutional Trading on the Shanghai Stock Exchange written by Bong-Soo Lee and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the daily relation between returns and the trading of Shanghai Stock Exchange 180 stocks by institutional and individual investors. We find that there is a positive relation between returns and the trading of institutions and individuals. Both individuals and institutions trade, buy, and sell more if past returns are high, although overall such activity is more strongly related to lagged trades than lagged returns. On the other hand, the institutional imbalance is negatively related to the lagged market returns, which implies that institutions tend to be contrarian traders. Second, we find that past individual trading has predictive power whereas past institutional trading only has a long-run predictive power for market returns. Institutional trading also Granger-causes the returns of the two large stock quintiles, and individual trading Granger-causes the returns of several of the small and medium-sized portfolios. Further analysis reveals that, trading of the individual investors is influenced more by trading of institutional investors, while trading of the institutional investors are mainly influenced by shocks from its past trading and shocks from market returns. Finally, we find that institutional trading in the largest quintile leads institutional trading in the smallest quintile, but no such lead-lag relation is found for individual trades. These results suggest that although individuals dominate trading within most of the quintiles, institutional trading, and especially the trading of large stocks, conveys more information and increases the speed of price adjustments.
Book Synopsis Price-Based Investment Strategies by : Adam Zaremba
Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Book Synopsis Chinese Institutional Trading, Stock Returns and Earnings Announcements by : Zhijuan Chen
Download or read book Chinese Institutional Trading, Stock Returns and Earnings Announcements written by Zhijuan Chen and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on Chinese institutional trading and its relation with stock returns. We use the data of institutional ownership of Topview from Shanghai Stock Exchange to get daily order flow of dealers and mutual funds. We first document that their daily order flow is persistent in the short run and they adopt momentum strategy only in the short run. At the same time, there is a positive relation between Chinese institutional investor trading and future return in the short run and a zero relation in the long run. Chinese institutional investor trading can predict neither earning surprise nor post-earning-announcement returns. Furthermore, we find that Chinese institutional investors seem to follow a news momentum trading strategy after earnings announcements.
