作者：Huang, Alan Guoming; Tan, Hongping; Wermers, Russ
作者单位：University of Waterloo; McGill University; University System of Maryland; University of Maryland College Park
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-motivat...
作者：Johnson, Travis L.; Kim, Jinhwan; So, Eric C.
作者单位：University of Texas System; University of Texas Austin; Stanford University; Massachusetts Institute of Technology (MIT)
摘要：We establish a link between firms managing investors' performance expectations, earnings announcement premiums, and cyclical patterns (i.e., seasonalities) in returns. Firms that are more likely to manage expectations toward beatable levels predictably earn lower returns before, and higher returns during, their earnings announcements. This pattern repeats across firms' fiscal quarters, suggesting firms manufacture positive surprises by negatively biasing investors' expectations ahead of announ...
