Long-Term Institutional Trades and the Cross-Section of Returns

32 Pages Posted: 22 Sep 2020

Date Written: August 7, 2020

Abstract

I investigate the relation between long-term institutional trades and future returns, and find that the cumulative number of shares purchased in net by financial institutions over the prior ten quarters is negatively related to future returns. A long-short portfolio constructed on this measure earns an annualized average Carhart alpha of 9.9%. Overall, I find that long-term institutional trades contain information about future returns that is not already captured by existing short-term institutional trades measures.

Keywords: Anomalies, Financial Institutions, Institutional Investors, Institutional Trades, Market Efficiency

JEL Classification: G12, G14

Suggested Citation

Bulsiewicz, James, Long-Term Institutional Trades and the Cross-Section of Returns (August 7, 2020). Available at SSRN: https://ssrn.com/abstract=3669224 or http://dx.doi.org/10.2139/ssrn.3669224

James Bulsiewicz (Contact Author)

Fairleigh Dickinson University ( email )

United States

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