Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements
John Campbell (),
Tarun Ramadorai () and
No 6390, CEPR Discussion Papers from C.E.P.R. Discussion Papers
Many questions about institutional trading can only be answered if one can track high-frequency changes in institutional ownership. In the U.S., however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behaviour from the “tape”, the Transactions and Quotes database of the New York Stock Exchange, using a sophisticated method that best matches quarterly 13-F data. 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: earnings announcements; institutions; liquidity; post-earnings-announcement-drift; trading (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-mst and nep-rmg
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Journal Article: Caught on tape: Institutional trading, stock returns, and earnings announcements (2009)
Working Paper: Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements (2009)
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