Who Moves Stock Prices? Monthly evidence

Existing evidence using US data show a simultaneous covariability between a stock’s priceand quarterly flows into and out of the stock by institutional investors. In this paper we usedata on monthly changes in holdings by all investor groups at the Oslo Stock Exchange toshow that such quarterly effects are concentrated within a month. We find a positive relationbetween monthly net flows into a stock by institutions and foreigners and the stock’s return. Wefind no evidence of any effects the next month, providing evidence against the hypothesis thatquarterly results are due to within-quarter feedback. Such feedback effects must be of less thanone month duration. We show that offsetting net inflows by mutual funds and foreigners arenet outflows by individual and nonfinancial investors. The interesting question is which of thesegroups are active in “pushing prices”...