The Performance of Short-Term Institutional Trades
利用每日机构交易数据，发现多数短期机构交易亏损，超过23%的往返交易持有期不足3个月，平均回报为-3.91%，且亏损在各类股票中普遍存在，交易最频繁的基金亏损最严重。
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 3 months, and the returns on these trades average -3.91% (nonannualized). 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.