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dc.contributor.authorChakrabarty, Bidisha
dc.contributor.authorMoulton, Pamela
dc.contributor.authorTrzcinka, Charles
dc.date.accessioned2020-09-11T13:49:21Z
dc.date.available2020-09-11T13:49:21Z
dc.date.issued2016-01-22
dc.identifier.other8103552
dc.identifier.urihttps://hdl.handle.net/1813/71347
dc.description.abstractUsing a database of daily institutional trades, we document that a majority of short-term institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than three months, and the returns on these trades average -3.91% (non-annualized). These losses are pervasive across all types of stocks, with the lowest returns occurring in small stocks, value stocks, and low-momentum stocks. Short-term trades lose more in more volatile markets. Across funds, the worst short-term returns accrue to funds that do the most trading, and there is no evidence of persistent skill or disposition effect in short-term institutional trades.
dc.language.isoen_US
dc.relation.hasversionThis work has been revised and is forthcoming as: Chakrabarty, B., Moulton, P. C., & Trzcinka, C. (2017). The performance of short-term institutional trades. Journal of Financial and Quantitative Analysis: doi:10.1017/S0022109017000400.
dc.relation.urihttps://hdl.handle.net/1813/72236
dc.rightsRequired Publisher Statement: Copyright held by the authors.
dc.subjectinstitutional trading
dc.subjectshort-term trades
dc.subjecttrading skill
dc.subjectinformation
dc.titleThe Performance of Short-term Institutional Trades
dc.typepreprint
dc.relation.doihttps://doi.org/10.1017/S0022109017000400
dc.description.legacydownloadsMoulton20_Performance_short_term.pdf: 782 downloads, before Aug. 1, 2020.
local.authorAffiliationChakrabarty, Bidisha: Saint Louis University
local.authorAffiliationMoulton, Pamela: pm388@cornell.edu Cornell University School of Hotel Administration
local.authorAffiliationTrzcinka, Charles: Indiana University - Bloomington


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