Although the relation between quarterly changes in institutional investor ownership and contemporaneous stock returns is well documented, the source of the relation remains unclear because institutional ownership data are unavailable at higher frequencies. In this study, we develop a method to...

We examine whether institutional investors follow each other into and out of the same industries. Our empirical results reveal strong evidence of institutional industry herding. The cross-sectional correlation between the fraction of institutional traders buying an industry this quarter and the...

A growing literature evaluates the relation between lag returns and demand by institutional investors. Given that lag returns and institutional ownership are directly observable, it is surprising that previous tests yield dramatically different conclusions. This study examines differences across...