@techreport{NBERw3846,
 title = "Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading",
 author = "Josef Lakonishok and Andrei Shleifer and Robert W. Vishny",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "3846",
 year = "1991",
 month = "September",
 URL = "http://www.nber.org/papers/w3846",
 abstract = {This paper uses a new data set of quarterly portfolio holdings of 769 all-equity pension funds between 1985 and 1989 to evaluate the potential effect of their trading on stock prices. We address two aspects of trading by money managers: herding, which refers to buying (selling) the same stocks as other managers buy (sell) at the same time; and positive-feedback trading, which refers to buying winners and selling losers. These two aspects of trading are commonly a part of the argument that institutions destabilize stock prices. At the level of individual stocks at quarterly frequencies, we find no evidence of substantial herding or positive-feedback trading by pension fund managers, except in small stocks. Also, there is no strong cross-sectional correlation between changes in pension funds' holdings of a stock and its abnormal return.},
}