IQ from IP: Simplifying search in portfolio choice

• 成果类型: Article
• 署名作者: Chen, Huaizhi; Cohen, Lauren; Gurun, Umit; Lou, Dong; Malloy, Christopher
• 署名单位: University of Notre Dame; Harvard University; National Bureau of Economic Research; University of Texas System; University of Texas Dallas; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.04.014
• 发表日期: 2020
• 页码: 118-137
• 关键词: Tracked trades; Return predictability; Institutional trading; Insider trading

摘要

Using a novel database that tracks web traffic on the Security Exchange Commission's EDGAR server between 2004 and 2015, we show that institutional investors gather information on a very particular subset of firms and insiders, and their surveillance is very persistent over time. This tracking behavior has powerful implications for their portfolio choice and its information content. An institution that downloaded an insider trading filing by a given firm last quarter increases its likelihood of downloading an insider trading filing on the same firm by more than 41.3 percentage points this quarter. Moreover, the average tracked stock that an institution buys generates annualized alphas of over 12% relative to the purchase of an average non tracked stock. We find that institutional managers tend to track top executives and to share educational and locational commonalities with the specific insiders they choose to follow. Collectively, our results suggest that the information in tracked trades is important for fundamental firm value and is only revealed following the information-rich dual trading by insiders and linked institutions. (C) 2020 Elsevier B.V. All rights reserved.