Institutional Trade Persistence and Long‐Term Equity Returns

Dasgupta, Amil; Prat, Andrea; Verardo, Michela

doi:10.1111/j.1540-6261.2010.01644.x

Cited by 185 publications

(115 citation statements)

References 45 publications

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“…6;2013 Finally, regarding equity structures, analysts prefer firms owned mostly by institutional investors, which is consistent with the findings of Frankel et al (2006). However, regarding the institutional ownership change of a firm, analysts agree with the suggestions of Dasgupta et al (2011), who stated that stocks persistently bought by institutional investors over the final four quarters underperform those persistently sold by them. Therefore, if institutional investors increase (decrease) their holdings in one stock in the last quarter, analysts would herd to issue sell (buy) recommendations.…”

Section: Wwwccsenetorg/ijefsupporting

confidence: 79%

Do Security Analysts Herd on Stock Recommendations and Does It Affect Returns?

Lin

Jang²,

Tsang³

2013

IJEF

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This study explores the herding behavior of security analysts, the firm characteristics in attracting herding, and the consequences of the herding recommendations on returns in China's stock market. By applying the LSV method, the stock recommendations of analysts are partitioned into buy-and sell-recommendations. The results show that the herding level of sell-recommendation is greater than that of buy-recommendation, which is particularly evident in the bear market. Moreover, investors selling the holdings that analysts herd to recommend "sell" might help avoid losses in the bear market. Notably, when in the bull market, if analysts herd to make sell-recommendations, investors might gain more by acting conversely. These performance variations according to market sentiments appear to be partially explained by a firm's characteristics based on additional regression analyses and are partially attributed to analysts' individual attitudes toward market sentiments.

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Section: Wwwccsenetorg/ijefsupporting

confidence: 79%

Do Security Analysts Herd on Stock Recommendations and Does It Affect Returns?

Lin

Jang²,

Tsang³

2013

IJEF

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“…As individual investors are more or less active during nighttime to collect information/news or make decisions on stock selection, institutional investors have more frequent trades during daytime (Griffen, Harris, & Topaloglu, 2003;Dasgupta, Prat, & Verardo, 2011). Sias and Nofsinger (1999) document a strong correlation between change in investor ownership and stock return.…”

Section: Investor Heterogenetiymentioning

confidence: 99%

A Revisit of the Cross-Section of Overnight and Intraday Abnormal Returns: Evidence from the Japanese REIT Market

Chen¹,

Kawaguchi²

2017

IJEF

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This study revisits an overnight-intraday reversal strategy that generates an abnormal excess return for a stock market. The study is the first to examine whether abnormal returns related to size effect and investment effect occur overnight or intraday in the Japanese Real Estate Investment Trust (J-REIT) market. Empirical results show that in the J-REIT market, significant positive abnormal returns on investment effect as well as size effect occur intraday, followed by reversals that negative abnormal returns occur overnight. Further empirical results reveal that foreign institutional investors and individual investors trade against domestic institutional investors, and strengthen the asymmetric intraday and overnight abnormal returns. Therefore, we support the hypothesis that investor heterogeneity can explain the overnight-intraday anomaly. Moreover, the J-REIT market responds quickly and significantly to announcements from the Bank of Japan (BOJ). The information surprise caused by BOJ's announcements also intensifies the intraday and overnight abnormal returns in the J-REIT market.

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“…In other words, these stocks are held too long by their retail investors when their stock prices are declining. Finally, Dasgupta et al (2011) find that institutional stockholders tend to herd together when buying and selling, and that this herding behavior predicts short-term returns.…”

Section: Ownership Structure Literaturementioning

confidence: 95%