Do short‐term institutions exploit stock return anomalies?
研究发现，短期投资期限的机构投资者确实利用了10种常见的股票回报异常，其交易能产生显著的正异常回报，而长期机构则相反。
Abstract The literature documentsthat institutional investors in aggregate trade in the “wrong” direction of stock return anomalies. This paper explains the puzzle by isolating active institutions with a shorter‐term investment horizon (“short‐term institutions”). Based on 10 well‐known stock return anomalies, we find that these short‐term institutions indeed exploit anomalies. The results established in the literature are mostly driven by institutions with a longer‐term investment horizon, who are likely more interested in long‐run financial performance. In addition, given that institutional investors are momentum traders, we examine separately how institutional investors trade on momentum and contrarian anomalies. We show that institutions generally trade in the right direction on momentum anomalies but wrong direction on contrarian anomalies. However, over relatively short trading windows, short‐term institutions trade in the right direction of both momentum and contrarian anomalies. Furthermore, we show evidence that when short‐term institutions exploit anomalies, their trades generate significantly positive abnormal returns. Our results also imply that trading by short‐term institutions appears to be subject to liquidity provision by long‐term institutions.