John Griffin, Jeffrey Harris, and Selim Topaloglu (2003), “The Dynamics of Institutional and Individual Trading,” Journal of Finance (December).
Abstract: We study the daily and intra-daily cross-sectional relation between stock returns and the trading of institutional and individual investors in NASDAQ 100 securities. Based on the previous day’s stock return, the top-performing deciles… is 23.9% more likely to be bought in net by institutions… than… the bottom performance decile. Strong contemporaneous daily patterns can largely be explained by net institutional (individual) trading positively (negatively) following past intra-day excess stock returns (or the news associated therein). In comparison, evidence of return predictability and price pressure are economically small.