INSTITUTIONAL OWNERSHIP, EQUITY RETURN AND PRICE MOMENTUM ANOMALY

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Jiun-Lin Chen, Hsiao-Fen Yang

DOI:10.22495/cocv9i1c2art5

Abstract

This paper examines whether momentum profit and institutional holdings are related. The empirical result shows that after controlled for the size effect, momentum profits are positively related to institutional holdings, especially for small-capitalization firms. Our finding confirms that institution investors tend to have positive-feedback trading in smaller firms. Furthermore, we find that the equity return is positively related to the institutional trading, which supports the hypothesis that institutional investors are better informed than individual investors.

Keywords: Momentum, Institutional Holding, Positive-Feedback Trading

How to cite this paper: Chen, J. L., & Yang, H. F. (2011). Institutional ownership, equity return and price momentum anomaly. Corporate Ownership & Control, 9(1-2), 305-318. http://dx.doi.org/10.22495/cocv9i1c2art5