Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements
John Campbell (),
Allie Schwartz and
Tarun Ramadorai ()
Scholarly Articles from Harvard University Department of Economics
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.
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Published in Journal of Financial Economics
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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 (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:2609649
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