Campbell, John, Ramadorai, Tarun and Schwartz, Allie (2009) Caught on tape: institutional trading, stock returns, and earnings announcements. Journal of Financial Economics, 92 (1). pp. 66-91.
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 lossespossibly reflecting institutional demand for liquiditybut 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.
|Keywords:||Institutions; Trading; Stock returns; Post-earnings announcement drift; finance|
|Date Deposited:||01 Apr 2012 13:04|
|Last Modified:||23 Feb 2017 10:11|
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