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The Performance of Short-term Institutional Trades
dc.contributor.author | Chakrabarty, Bidisha | |
dc.contributor.author | Moulton, Pamela | |
dc.contributor.author | Trzcinka, Charles | |
dc.date.accessioned | 2020-09-12T21:10:14Z | |
dc.date.available | 2020-09-12T21:10:14Z | |
dc.date.issued | 2016-02-25 | |
dc.identifier.other | 10450217 | |
dc.identifier.uri | https://hdl.handle.net/1813/72236 | |
dc.description.abstract | Using 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.iso | en_US | |
dc.relation.hasversion | Final version 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.uri | https://hdl.handle.net/1813/71347 | |
dc.rights | Required Publisher Statement: © Michael G. Foster School of Business, University of Washington 2017. Final version 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. Reprinted with permission. All rights reserved. | |
dc.subject | institutional trading | |
dc.subject | short-term trades | |
dc.subject | trading skill | |
dc.subject | information | |
dc.title | The Performance of Short-term Institutional Trades | |
dc.type | article | |
dc.relation.doi | https://doi.org/10.1017/S0022109017000400 | |
dc.description.legacydownloads | Moulton26_Performance.pdf: 167 downloads, before Aug. 1, 2020. | |
local.authorAffiliation | Chakrabarty, Bidisha: Saint Louis University | |
local.authorAffiliation | Moulton, Pamela: pm388@cornell.edu Cornell University School of Hotel Administration | |
local.authorAffiliation | Trzcinka, Charles: Indiana University |