Institutional trading, news, and accounting anomalies

• 成果类型: Article
• 署名作者: Wang, Feifei; Yan, Xuemin Sterling; Zheng, Lingling
• 署名单位: University System of Ohio; Miami University; Lehigh University; Renmin University of China
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2024.101686
• 发表日期: 2024
• 关键词: fundamental analysis; FULLY REFLECT; stock returns; prudent-man; earnings; investors; INVESTMENT; accruals; INFORMATION; prices

摘要

Previous studies find mixed evidence on whether institutional investors exploit capital market anomalies. Examining a large sample of accounting-based anomalies, we find that institutions trade in the wrong direction of overreaction anomalies, but in the right direction of underreaction anomalies. These heterogenous trading patterns, rather than reflecting institutions' differential anomaly trading skills, can be simply explained by institutions' tendency to trade in the same direction as the sentiment of news. Examining earnings news and a comprehensive sample of newswire releases, we find strong support for this explanation. Finally, institutional trading appears to exacerbate (mitigate) mispricing associated with overreaction (underreaction) anomalies.