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What is Institutional Trading and Stock Returns Analysis about?

This document summarizes a study that examines daily institutional trading behavior in U.S. stocks between 1993-2000. The study develops a new method to infer daily institutional trading flows from trade-level data, rather than using a standard size cutoff. Key findings include: 1) Daily institutional trading is highly persistent and responds positively to recent daily returns but negatively to longer-term past returns. 2) Institutional trades predict short-term negative and longer-term positive stock retur

Author

Alex Chong

Language

EN