Institutional Ownership and Future Stock Returns: An International Perspective

Teodor Dyakov, E.C. Wipplinger

Research output: Contribution to JournalArticleAcademicpeer-review

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.
Original languageEnglish
JournalInternational Review of Finance
DOIs
Publication statusAccepted/In press - 2019

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Institutional ownership
Stock returns
Institutional trading
Mutual funds
Equity

Cite this

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title = "Institutional Ownership and Future Stock Returns: An International Perspective",
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.",
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Institutional Ownership and Future Stock Returns: An International Perspective. / Dyakov, Teodor; Wipplinger, E.C.

In: International Review of Finance, 2019.

Research output: Contribution to JournalArticleAcademicpeer-review

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AB - 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.

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