Institutional Trade Persistence and Long‐Term Equity Returns
研究发现机构投资者持续多季度的买卖行为能反向预测长期股票收益，持续卖出的股票长期表现优于持续买入的股票，且该效应在小盘股和高机构持股股票中更显著。
ABSTRACT Recent studies show that single‐quarter institutional herding positively predicts short‐term returns. Motivated by the theoretical herding literature, which emphasizes endogenous persistence in decisions over time, we estimate the effect of multiquarter institutional buying and selling on stock returns. Using both regression and portfolio tests, we find that persistent institutional trading negatively predicts long‐term returns: persistently sold stocks outperform persistently bought stocks at long horizons. The negative association between returns and institutional trade persistence is not subsumed by past returns or other stock characteristics, is concentrated among smaller stocks, and is stronger for stocks with higher institutional ownership.