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Institutional Ownership and Future Stock Returns: An International Perspective
Author(s) -
Dyakov Teodor,
Wipplinger Evert
Publication year - 2020
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/irfi.12203
Subject(s) - equity (law) , institutional investor , stock (firearms) , portfolio , business , financial economics , monetary economics , quarter (canadian coin) , economics , econometrics , corporate governance , finance , mechanical engineering , archaeology , political science , law , history , engineering
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.