We document strong positive correlation between changes in institutional ownership and
returns measured over the same period. The result suggests that either institutional investors …

Institutional investors' demand for a security this quarter is positively correlated with their
demand for the security last quarter. We attribute this to institutional investors following each …

We investigate whether institutional investors “vote with their feet” when dissatisfied with a
firm's management by examining changes in equity ownership around forced CEO turnover. …

Although institutional investors have a preference for large capitalization stocks, over time
they have shifted their preferences toward smaller, riskier securities. These changes in …

We propose and test the hypothesis that trading by institutional investors contributes to
serial correlation in daily returns. Our results demonstrate that NYSE particles and individual …

… Thus, we follow Sias and measure each investor types’ propensity to engage in herding as
their average (rather than total) contribution from following similarly classified institutions and …

… Contact the corresponding author, Richard Sias, at sias@wsu.edu. … See Sias (forthcoming)
for a detailed discussion of differences across institutional momentum trading studies. …

This article evaluates the tax‐loss‐selling hypothesis against the window‐dressing
hypothesis as explanations for turn‐of‐the‐year anomalies. We examine differences between …

Inconsistent with the relationship predicted by most academic theory, a positive contemporaneous
association is documented between the level of institutional ownership and security …

Studies have suggested that individual investor behavior is the primary cause of the weekend
effect. This examination of differences in the daily returns of securities held primarily by …