Institutional Ownership and Future Stock Returns: An International Perspective

11 Pages Posted: 13 Mar 2020 Last revised: 17 May 2020

See all articles by Teodor Dyakov

Teodor Dyakov

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Evert Wipplinger

Vrije Universiteit Amsterdam, School of Business and Economics

Date Written: March 2020

Abstract

We investigate the risk‐adjusted performance of the aggregate equity holdings and trades of 13,807 active mutual funds located in 16 countries between 2001 and 2014. Using portfolio sorts, we find weak evidence that institutional holdings exhibit positive subsequent risk‐adjusted returns. However, any outperformance is unlikely to stem from short‐term informational advantage: stocks bought do not outperform stocks sold in the subsequent quarter. This finding is robust to regressions of subsequent stock returns on changes in institutional ownership and holds for different measurements of institutional trading.

Suggested Citation

Dyakov, Teodor and Wipplinger, Evert, Institutional Ownership and Future Stock Returns: An International Perspective (March 2020). International Review of Finance, Vol. 20, Issue 1, pp. 235-245, 2020, Available at SSRN: https://ssrn.com/abstract=3553474 or http://dx.doi.org/10.1111/irfi.12203

Teodor Dyakov (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

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Amsterdam, 1081HV
Netherlands
+31 20 59 82197 (Phone)
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HOME PAGE: http://www.teodordyakov.work

Tinbergen Institute ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands

Evert Wipplinger

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

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