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Individual and Institutional Trading in Tehran Security Exchange and Stock Return

Moradi, Mohammad | 2020

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 53554 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Bahramgiri, Mohsen; Haghpanah, Farshad
  7. Abstract:
  8. In finance literature there are different views of individual and institutional investors for variety of reasons. Despite having consensus on the difference of individual and institutional investors due to complexity and size, it seems there are much disagreement on how they affect the key process of market like return and liquidity. In this paper we consider the effect of individual and institutional trading on the short-term return of stocks. Specifically, first we define some factors to measure the trading activity of individual and institutional investors. Then we use these factors to sort each stock in the cross section to create decile portfolios and we compare the short-term return factors with each other and during different time periods. Considering these factors, we find that net trade per account for both individual and institutional can predict the short-term return better than other factors. Finally, we show that strategies that buy stocks with high net individual trade per account generate positive excess return over one- to three-month holding period
  9. Keywords:
  10. Individual Investors ; Institutional Investors ; Tehran Stock Exchange ; Short-Term Returns ; Excess Return ; Expected Returns Cross Section ; Optimal Investment Strategies ; Stock Trading Strategy ; Portfolio Sorting

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