Institutional Investors and Short-Term Return Reversals
研究1980至2017年周收益数据，发现大公司股票收益反转更强，但1990年代中期后机构偏好转向小公司，反转差异消失。
We examine stock return reversals using weekly returns from January 1980 to December 2017. Reversals are stronger for the largest size quintile than for the smallest quintile in the first half of the study. However, the reversal difference disappears in the second half. We demonstrate that a high institutional demand, mainly from institutions with small percentage of holdings, for large-firm stocks results in a high demand for immediacy as well as their strong return reversals. After institutions shifted their preferences to stocks of smaller firms since the mid-1990s, the reversal difference is no longer significant.