The Interim Trading Skills of Institutional Investors
利用大型机构交易数据库，研究发现机构投资者在季度内的交易能获得显著的超额收益，且这种中期交易表现具有持续性，每年贡献20-26个基点的异常收益。
ABSTRACT Using a large proprietary database of institutional trades, this paper examines the interim (intraquarter) trading skills of institutional investors. We find strong evidence that institutional investors earn significant abnormal returns on their trades within the trading quarter and that interim trading performance is persistent. After transactions costs, our estimates suggest that interim trading skills contribute between 20 and 26 basis points per year to the average fund's abnormal performance. Our findings also indicate that any trading skills documented by previous studies that use quarterly data are biased downwards because of their inability to account for interim trades.