Reconcilable Differences: Momentum Trading by Institutions
研究了机构投资者对滞后回报的需求，发现价值加权与等权加权、平均与汇总、需求指标符号分歧以及市值与滞后回报的相关性这四个因素导致了以往研究结论的差异，控制这些因素后结果一致。
Abstract A growing literature evaluates the relation between lag returns and demand by institutional investors. Given that lag returns and institutional ownership are directly observable, it is surprising that previous tests yield dramatically different conclusions. This study examines differences across studies and finds that four factors account for these discrepancies: (1) value‐weighting versus equal‐weighting across stocks, (2) averaging versus aggregating over managers, (3) disagreement in the signs of measures of institutional demand, and (4) correlation between current capitalization and both lag returns and measures of institutional demand. Controlling for these factors, the results across different methods are remarkably uniform.