Chinese Institutional Investors Beat the Market Using Trading Volume Anomaly.
Institutional investors in China can make better stock picks by using the trading volume anomaly to earn higher returns. By analyzing data from 1999 to 2007, researchers found that trading volume affects institutional investors' shareholding changes. Investors can earn abnormal returns by investing in stocks with low turnover and high institutional investor ownership while shorting stocks with high turnover and low institutional ownership. This strategy can yield a 10.3% return every three months.