Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements

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Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements

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Title: Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements
Author: Campbell, John; Schwartz, Allie; Ramadorai, Tarun

Note: Order does not necessarily reflect citation order of authors.

Citation: Campbell, John Y., Tarun Ramadorai, and Allie Schwartz. Forthcoming. Caught on tape: Institutional trading, stock returns, and earnings announcements. Journal of Financial Economics.
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Abstract: 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 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.
Published Version: http://dx.doi.org/10.1016/j.jfineco.2008.03.006
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:2609649

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  • FAS Scholarly Articles [7587]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
 
 

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