Institutional Trading and Share Returns

The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk*

“…13 The sample period for this study is 1 January 1993 to 31 December 2003. Further details concerning the construction and composition of the database can be obtained from Brown et al (2005), Gallagher and Looi (2006), and Foster et al (2005). These studies also…”

Large Capital Inflows and Stock Returns in a Thin Market

“…On the other hand, it is known that the number of institutional investors trading on stock markets world-wide increased substantially in the past two decades, which has caused a gradually intensified interest among financial economists, practitioners as well as financial markets regulators in the issue of the impact of those institutions on stock prices. It is widely believed that institutional traders have direct influence on stock returns and the existing empirical evidence from international markets backs this conjecture, as reported by Kraus and Stoll (1972), Chan and Lakonishok (1993), Bikker, Spierdijk and van der Sluis (2007), Rakowski and Wang (2009) and recently Foster, Gallagher and Looi (2011) and references therein. 1 The specific history of the Polish stock market provides a unique institutional feature and opportunity allowing us to contribute to the literature on the institutional investors" impact on stock prices, arising from the pension system reform in Poland in 1999, when privately managed pension funds (OFEs) were established and allowed to invest on the capital market.…”

Australian momentum: performance, capacity and the GFC effect

“…In an effort to address these mixed conclusions, this paper initially documents the presence of momentum in the S&P/ASX200. This index choice is entirely logical as Australian equity analysts consistently favour momentum stocks (Azzi and Bird, ; Foster et al ., ) and equity fund managers typically have mandates that allow them to invest only in the constituents of specific S&P indices (Brailsford and O'Brien, ). There is no evidence that Australian equity fund managers invest in artificial strata created by ranking stocks based on market capitalisation.…”