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...

There is a strong inverse relation between insider trading and institutional demand the same quarter and over the previous year. Our analysis suggests a combination of factors contribute to this relation. First, institutional investors are more likely to provide the liquidity necessary for...

Firm-specific risk climbed steadily between 1962 and 1999, but fell sharply between 2000 and 2003. We hypothesize that changes in the composition of the market, rather than fundamental changes in the economy or return-generating process, drive these changes in aggregate firm-specific risk over...

The success of momentum strategies over the past 20 years is predominately driven by the last month in each quarter. Excluding Januaries (a month in which lag losers typically outperform lag winners), the average monthly return to a momentum strategy in non-quarter-ending months is 59 basis...

A number of recent studies test whether institutional investors, as a group, engage in momentum trading. Given directly observable returns and changes in institutional ownership, it is surprising that these studies reach vastly different conclusions. I re-examine the relation between changes in...

With Januaries (a month in which lagged quot;losersquot; typically outperform lagged quot;winnersquot;) excluded, the average monthly return to a momentum strategy for U.S. stocks was found to be 59 bps for non-quarter-ending months but 310 bps for quarter-ending months. The pattern was stronger...

Company-specific risk climbed steadily between 1962 and 1999 in the U.S. market but fell sharply between 2000 and 2003. This article explores the hypothesis that three factors are primarily responsible for observed changes in company-specific risk: changes in the market weights of riskier...

quot;Money flowquot; is defined as the difference between uptick and downtick dollar trading volume. Despite little published research regarding its usefulness, the measure has become an increasingly popular technical indicator. Our analysis demonstrates that money flows are highly correlated...

This study examines the hypothesis that closed-end fund shareholders garner greater returns than holders of the underlying assets as compensation for bearing quot;noise trader risk.quot; We demonstrate that fund share returns are more volatile and exhibit greater mean reversion than the returns...

This study examines serial correlation in daily portfolio returns for securities held primarily by individual investors versus securities held primarily by institutional investors. The results implicate institutional investors as the primary source of positive serial correlation in portfolio...