Griffin, John M.; Harris, Jeffrey H.; Topaloglu, Selim - In: Journal of Finance 58 (2003) 6, pp. 2285-2320
We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23.9% more likely to be bought in net by...