This study presents the results of the first direct empirical tests of the De Long, Schleifer, Summers, and Waldmann noise trader model. The two key propositions of the model are that: (1) noise trader risk is systematic and (2) it is priced in the market. The results presented in this paper do...

Institutional investors' demand for a security this quarter is positively correlated with their demand for the security last quarter. We attribute this to institutional investors following each other into and out of the same securities ("herding") and institutional investors following their own...

Although the relation between quarterly changes in institutional investor ownership and contemporaneous stock returns is well documented, the source of the relation remains unclear because institutional ownership data are unavailable at higher frequencies. In this study, we develop a method to...