Caught on tape: Institutional trading, stock returns, and earnings announcements

• 成果类型: Article
• 署名作者: Campbell, John Y.; Ramadorai, Tarun; Schwartz, Allie
• 署名单位: Harvard University; National Bureau of Economic Research; University of Oxford; University of Oxford; Centre for Economic Policy Research - UK; Cornerstone Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.03.006
• 发表日期: 2009
• 页码: 66-91
• 关键词: institutions; TRADING; stock returns; Post-earnings announcement drift

摘要

Many questions about institutional trading can only be answered if one tracks high-frequency changes in institutional ownership. In the United States, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the tape, the Transactions and Quotes database of the New York Stock Exchange, using a sophisticated method that best predicts quarterly 13-F data from trades of different sizes. We find that daily institutional trades are highly persistent and respond positively to recent daily returns but negatively to longer-term past daily returns. Institutional trades, particularly sells, appear to generate short-term losses-possibly reflecting institutional demand for liquidity-but longer-term profits. One source of these profits is that institutions anticipate both earnings surprises and post-earnings announcement drift. These results are different from those obtained using a standard size cutoff rule for institutional trades. (C) 2009 Elsevier B.V. All rights reserved.