The Dynamics of Institutional and Individual Trading
研究纳斯达克100股票中，机构与个人交易与股票回报的日间和日内横截面关系，发现机构更倾向于买入前一日表现最好的股票，而个人则相反，但回报可预测性和价格压力在经济上较小。
Abstract We study the daily and intradaily cross‐sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23.9% more likely to be bought in net by institutions (and sold by individuals) than those in the bottom performance decile. Strong contemporaneous daily patterns can largely be explained by net institutional (individual) trading positively (negatively) following past intradaily excess stock returns (or the news associated therein). In comparison, evidence of return predictability and price pressure are economically small.