香蕉视频

Authors: A.G. Huang, Hongping Tan, and R. Wermers

Publication: The Review of Financial Studies, Volume 33, Issue 10, October 2020, Pages 4627-4675.

Abstract:

We examine institutional trading surrounding corporate news by combining a comprehensive database of newswire releases on U.S. firms with a high-frequency database of institutional trades. To identify the ability of institutions to predict or quickly interpret news, we form 鈥渘ews clusters鈥� of related news about a particular firm that occurs in rapid succession. We find that institutions chiefly trade on the tone of news directly after the earliest news release in a cluster, and such news-motivated trading predicts returns over the following weeks. Our results suggest that institutional investors contribute to price efficiency through the speedy interpretation of public information.

Desautels 22

In recognition of research excellence as it relates to publications in top-tier management journals, our Faculty has compiled a list of high quality, peer-reviewed management journals, which is referred to as the Desautels 22.