Caught on tape: Institutional trading, stock returns, and earnings announcements
John Campbell (),
Tarun Ramadorai () and
Journal of Financial Economics, 2009, vol. 92, issue 1, 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 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.
Keywords: Institutions; Trading; Stock; returns; Post-earnings; announcement; drift (search for similar items in EconPapers)
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Working Paper: Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements (2009)
Working Paper: Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:92:y:2009:i:1:p:66-91
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