The impacts of institutional ownership on stock returns
The impacts of institutional ownership on stock returns
复制标题
机构持股对股票收益的影响
DOI：
10.1007/s00181-018-1519-3
复制
发表时间：
2020
影响因子：
3.2
通讯作者：
Hongwei Chuang
中科院分区：
文献类型：
--
作者：
Imai;Yuto;今井悠人;Yuto Imai;Yuto Imai;Daisuke Ida;Daisuke Ida;井田 大輔;Daisuke Ida;井田大輔;松林洋一・井田大輔・岡野光洋;Daisuke Ida;井田大輔・星野聡志;Daisuke Ida;Daisuke Ida and Mitsuhiro Okano;Daisuke Ida and Mitsuhiro Okano;Daisuke Ida;Daisuke Ida;Hongwei Chuang;Hongwei Chuang;Hongwei Chuang
机构投资者的交易持久性与股票收益之间的关系尚不清楚。尽管之前的研究表明，机构交易的持续性与后续股票收益短期正相关，但一些实证研究表明，这种短期正相关关系仅在特定情况下成立。最近，Dasgupta等人（J Finance 66:635-653, 2011）甚至发现，机构交易的持续存在与股票收益的逆转有关。为了填补文献上的空白，我使用了一个独特的月度机构所有权数据来提供新的经验证据，表明机构交易不仅对股票回报有短期的积极影响，而且对股票回报也有长期的负面影响。此外，我发现机构持股累积增长率较低的股票往往比机构持股累积增长率较高的股票具有更大的动量。买入机构持股比例“低”十分之一的股票，卖出机构持股比例“高”十分之一的股票，这种零投资策略可以跑赢市场，并产生显著的异常回报。
The relation between institutional investors’ trading persistence and stock returns is still not clear. Despite the fact that previous studies have demonstrated the persistence of institutional trading can be short-term positively correlated with following stock returns, some empirical studies show that this short-term positive relation holds only under particular circumstances. Recently, Dasgupta et al. (J Finance 66:635–653, 2011) have even found that the persistence of institutional trading is associated with reversals in stock returns. To fill the gap in the literature, I use a unique monthly institutional ownership data to present new empirical evidence showing that institutional trading not only has a short-term positive impact on stock returns but can also have a long-term negative effect. Moreover, I find that stocks with the lower accumulated growth of institutional ownership tend to have greater momentum than stocks with higher such growth. A zero-investment strategy of buying stocks with ‘LOW’-decile institutional ownership and selling ‘HIGH’-decile ones can outperform the market and generate significant abnormal returns.
影响因子：
8
作者：
Narasimhan Jegadeesh
通讯作者：
Narasimhan Jegadeesh
隐含价格风险和动量策略
影响因子：
4.4
作者：
H. Chuang;Hwai
通讯作者：
Hwai