| Abstract |
Using institutional trades across 36 countries for the period 2003&8211 | 2008, this paper investigates the determinants of short-term institutional trading and how they differ across tranquil and crisis times at a weekly frequency. Before the financial crisis of 2007&8211 | 2008, we find strong evidence of short-term momentum trading at both the stock and market levels. During the crisis, however, short-term momentum trading decreases significantly at both the stock and market levels, whereas medium-term momentum trading tends to increase. Further, during the crisis, institutions prefer to buy significantly larger, lower book-to-market, and higher turnover stocks than they did before the crisis. |