Institutional Trading around Corporate News: Evidence from Textual Analysis

• 成果类型: Article
• 署名作者: Huang, Alan Guoming; Tan, Hongping; Wermers, Russ
• 署名单位: University of Waterloo; McGill University; University System of Maryland; University of Maryland College Park
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz136
• 发表日期: 2020
• 页码: 4627
• 关键词: MUTUAL FUND PERFORMANCE; transactions costs; Media coverage; cross-section; stock returns; INFORMATION; persistence; liquidity; investors; style

摘要

We examine institutional trading surrounding corporate news by combining a comprehensive database of newswire releases on U.S. firms with a high-frequency database of institutional trades. To identify the ability of institutions to predict or quickly interpret news, we form news clusters of related news about a particular firm that occurs in rapid succession. We find that institutions chiefly trade on the tone of news directly after the earliest news release in a cluster, and such news-motivated trading predicts returns over the following weeks. Our results suggest that institutional investors contribute to price efficiency through the speedy interpretation of public information.