Are institutions informed about news?

• 成果类型: Article
• 署名作者: Hendershott, Terrence; Livdan, Dmitry; Schuerhoff, Norman
• 署名单位: University of California System; University of California Berkeley; University of Lausanne
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.03.007
• 发表日期: 2015
• 页码: 249-287
• 关键词: institutions; TRADING; stock returns; News sentiment

摘要

This paper combines daily buy and sell institutional trading volume with all news announcements from Reuters. Using institutional order flow (buy volume minus sell volume) we find a variety of evidence that institutions are informed. Institutional trading volume predicts the occurrence of news announcements. Institutional order flow predicts (i) the sentiment of the news; (ii) the stock market reaction on news announcement days; (iii) the stock market reaction on crisis news days; and (iv) earnings announcement surprises. These results suggest that significant price discovery related to news stories occurs through institutional trading prior to the news announcement date. (C) 2015 Elsevier B.V. All rights reserved.