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Institutional Ownership and Return Predictability Across Economically Unrelated Stocks

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dc.contributor.authorGao, George P.
dc.contributor.authorMoulton, Pamela
dc.contributor.authorNg, David T.
dc.date.accessioned2020-09-11T01:57:41Z
dc.date.available2020-09-11T01:57:41Z
dc.date.issued2015-07-10
dc.descriptionOriginal paper presented at the 23rd Annual Conference on Financial Economics and Accounting November 16 and 17, 2012, Los Angeles, CA.
dc.description.abstractWe document strong weekly lead-lag return predictability across stocks from different industries with no customer-supplier linkages (economically unrelated stocks). Between 1980 and 2010, the industry-neutral long-short hedge portfolio earns an average of over 19 basis points per week. This return predictability arises exclusively from pairs of stocks in which there are common institutional owners. This predictability is a new phenomenon which does not originate from the slow information diffusion underlying previously documented lead-lag effects, weekly reversals, momentum, nonsynchronous trading, or other known factors. Our findings suggest that institutional portfolio reallocations can induce return predictability among otherwise unrelated stocks.
dc.description.legacydownloadsMoulton14_REV_20160129_Institutional_ownership_and_return_predictability.pdf: 1529 downloads, before Aug. 1, 2020.
dc.identifier.other4751804
dc.identifier.urihttps://hdl.handle.net/1813/71317
dc.language.isoen_US
dc.relation.hasversionAn later version of this article is also available in eCommons.
dc.relation.urihttps://hdl.handle.net/1813/72044
dc.rightsRequired Publisher Statement: Copyright held by the authors.
dc.subjectinstitutional ownership
dc.subjectreturn predictability
dc.subjectanomalies
dc.subjectinstitutional trading
dc.titleInstitutional Ownership and Return Predictability Across Economically Unrelated Stocks
dc.typearticle
local.authorAffiliationGao, George P.: pg297@cornell.edu Cornell University
local.authorAffiliationMoulton, Pamela: pm388@cornell.edu Cornell University School of Hotel Administration
local.authorAffiliationNg, David T.: dtn4@cornell.edu Cornell University

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