This paper examines the quarterly holdings of all 13(f) institutions between the third quarter of 1987 and the third quarter of 1995 in approximately 3,800 firms. We analyze the trading patterns of institutions from two perspectives. First, we explore trading at the institution-level to detect...

We evaluate the return performance of long-short, market-neutral and bear mutual funds using multi-factor models and a conditional CAPM that allows for time-varying risk. Differences in the bearish posture of these mutual funds result in different performance characteristics. Returns to...

We document the equity trading practices of approximately 1,200 institutions from the third quarter of 1987 through the third quarter of 1995. We decompose trading by institutions into the initiation of new positions (entry), the termination of previous positions (exit), and adjustments to...

We document the equity trading practices of approximately 1,200 institutions from the third quarter of 1987 through the third quarter of 1995. We decompose trading by institutions into the initiation of new positions (entry), the termination of previous positions (exit), and adjustments to...

We examine the sensitivity of the abnormal profitability of the earnings' yield (E/P)-based contrarian investment strategy to the following two risk measurement issues: (1) return measurement interval over which systematic risk is estimated and (2) time variation in systematic risk. We conduct...