Changes in institutional ownership and stock returns: Assessment and methodology

Richard W. Sias, Laura T. Starks, Sheridan Titman

Research output: Contribution to journalArticlepeer-review

148 Scopus citations

Abstract

Although the relation between quarterly changes in institutional investor ownership and contemporaneous stock returns is well documented, the source of the relation remains unclear because institutional ownership data are unavailable at higher frequencies. In this study, we develop a method to generate estimates of higher frequency covariances when one variable is observed at lower frequencies (e.g., quarterly changes in institutional ownership and monthly stock returns). Our method provides evidence that institutional trading has both temporary and permanent price effects and that the latter is associated with information effects.

Original languageEnglish (US)
Pages (from-to)2869-2910
Number of pages42
JournalJournal of Business
Volume79
Issue number6
DOIs
StatePublished - Nov 2006
Externally publishedYes

ASJC Scopus subject areas

  • Business and International Management
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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