Reconcilable differences: Momentum trading by institutions

Research output: Contribution to journalArticlepeer-review

28 Scopus citations

Abstract

A growing literature evaluates the relation between lag returns and demand by institutional investors. Given that lag returns and institutional ownership are directly observable, it is surprising that previous tests yield dramatically different conclusions. This study examines differences across studies and finds that four factors account for these discrepancies: (1) value-weighting versus equal-weighting across stocks, (2) averaging versus aggregating over managers, (3) disagreement in the signs of measures of institutional demand, and (4) correlation between current capitalization and both lag returns and measures of institutional demand. Controlling for these factors, the results across different methods are remarkably uniform.

Original languageEnglish (US)
Pages (from-to)1-22
Number of pages22
JournalFinancial Review
Volume42
Issue number1
DOIs
StatePublished - Feb 2007
Externally publishedYes

Keywords

  • G11
  • G12
  • G14
  • G20
  • Institutional investors
  • Institutional trading
  • Momentum

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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