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- W2908518317 abstract "I examine the cross-sectional relationship between institutional trading activity and daily and intradaily stock returns for a sample of NYSE, Amex, and Nasdaq securities. An analysis of the prior day's return sort indicates that, institutional investors are 13.6 percent more likely to be net buyers of securities that are in the winner (top performing decile) decile than of those that are in the loser decile. There is a strong daily contemporaneous relation between institutional imbalances and returns, and institutional trades follow the previous day's returns. The intradaily analysis suggests that the contemporaneous relation is primarily driven by institutional trades following the intradaily prices. There is no evidence of institutional return predictability." @default.
- W2908518317 created "2019-01-11" @default.
- W2908518317 creator A5090196883 @default.
- W2908518317 date "2019-06-01" @default.
- W2908518317 modified "2023-09-27" @default.
- W2908518317 title "The dynamics of institutional trading: Evidence from transaction data" @default.
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- W2908518317 doi "https://doi.org/10.1016/j.jeca.2018.e00112" @default.
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