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The Performance of Short-Term Institutional Trades

  • Bidisha Chakrabarty, Pamela C. Moulton and Charles Trzcinka


Using a database of daily institutional trades, we document that a majority of short-term institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than 3 months, and the returns on these trades average -3.91% (nonannualized). These losses are pervasive across all types of stocks, with the lowest returns occurring in small stocks, value stocks, and low-momentum stocks. Short-term trades lose more in more volatile markets. Across funds, the worst short-term returns accrue to funds that do the most trading, and there is no evidence of persistent skill or disposition effect in short-term institutional trades.


Corresponding author

* Chakrabarty,, Cook School of Business, Saint Louis University; Moulton (corresponding author),, SC Johnson College of Business, Cornell University; and Trzcinka,, Kelley School of Business, Indiana University, Bloomington.


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We thank Amber Anand, James Angel, Warren Bailey, Robert Battalio, Azi Ben-Rephael, Stephen Brown (the editor), Martijn Cremers (the referee), Luis Goncalves-Pinto, Jeff Harris, Craig Holden, Paul Irvine, Ravi Jain, Bob Jennings, David Jessop, Peter Lerner, Qing Ma, Maureen O’Hara, Kevin Mullally, Anna Obizhaeva, Ajay Patel, Gideon Saar, Sophie Shive, Andriy Shkilko, Anthony Trzcinka, Konstantin Tyurin, Kelsey Wei, Russ Wermers, and seminar participants at Cornell University, Indiana University, Syracuse University, the University of Notre Dame, the 2012 India Finance Conference, the 2013 Finance Down Under Conference, the 2013 Financial Management Association Conference, the 2014 European Finance Association Conference, and the 2014 UBS Equities Quantitative Investment Conference for helpful comments. We also thank Zhi Da for the Daniel, Grinblatt, Titman, and Wermers (1997) benchmark returns; John Hallinger and Andy Puckett for advice on the Ancerno data; Jeff Bacidore for insights into institutional trading; Yifei Mao for research assistance; and Ancerno Ltd. for providing data.



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