Saglam, Mehmet
[Verfasser:in]
;
Moallemi, Ciamac C.
[Sonstige Person, Familie und Körperschaft];
Sotiropoulos, Michael
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2018 erstellt
Beschreibung:
We examine short-horizon return predictability using a novel proprietary dataset of institutional traders with known identities. We estimate investor-specific short-term trading skill and find that there is pronounced heterogeneity in predicting short-term returns among institutional investors. Incorporating short-term predictive ability, our model explains much higher fraction of variation in asset returns. Ignoring the heterogeneity in short-term trading skill can have major implications in modeling price impact. We uncover several stylized trading patterns of skilled trading: skilled investors choose larger trade sizes, avoid dark pools, trade fewer stocks on any given day, but they do not time high-liquidity periods