The Interim Trading Skills of Institutional Investors

46 Pages Posted: 28 Jun 2010

See all articles by Andy Puckett

Andy Puckett

University of Tennessee, Knoxville

Xuemin Sterling Yan

University of Missouri - Columbia

Multiple version iconThere are 2 versions of this paper

Date Written: May 2010

Abstract

Using a large proprietary database of institutional trades, this paper examines the interim (intra-quarter) trading skills of institutional investors. We find strong evidence that institutional investors earn significant abnormal returns on their trades within the trading quarter and that interim trading performance is persistent. After transactions costs, our estimates suggest that interim trading skills contribute between 20 and 26 basis points per year to the average fund’s abnormal performance. Our findings also indicate that any trading skills documented by previous studies that use quarterly data are biased downwards because of their inability to account for interim trades.

Keywords: Institutional Investors, Investment Skill

JEL Classification: G14, G23, G29

Suggested Citation

Puckett, Andy and Yan, Xuemin Sterling, The Interim Trading Skills of Institutional Investors (May 2010). Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1625335

Andy Puckett (Contact Author)

University of Tennessee, Knoxville ( email )

437 Stokely Managment Center
Knoxville, TN 37996
United States

Xuemin Sterling Yan

University of Missouri - Columbia ( email )

Robert J. Trulaske Sr. College of Business
427 Cornell Hall
Columbia, MO 65211-2600
United States
573-884-9708 (Phone)
573-884-6296 (Fax)

HOME PAGE: http://business.missouri.edu/yanx/

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