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Are All Short-Term Institutional Investors Informed?

Author

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  • Mustafa O. Caglayan
  • Umut Celiker
  • Mete Tepe

Abstract

We examine whether being a hedge fund has any differential effect on the previously documented empirical relation between investment horizon and informativeness of institutional investors’ trades. We find that the positive and significant relation between short-term institutional demand and future stock returns exists only among hedge funds, while such relation does not exist for non–hedge fund institutions with short investment horizons. We also provide evidence that our results are not driven by (false) presumptions that hedge funds represent the majority of short-term institutional investors or that hedge fund demand constitute the lion’s share of the short-term institutional demand.

Suggested Citation

  • Mustafa O. Caglayan & Umut Celiker & Mete Tepe, 2024. "Are All Short-Term Institutional Investors Informed?," Financial Analysts Journal, Taylor & Francis Journals, vol. 80(1), pages 99-117, January.
    • Handle: RePEc:taf:ufajxx:v:80:y:2024:i:1:p:99-117
    DOI: 10.1080/0015198X.2023.2259287
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