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dc.creatorCampbell, John
dc.creatorSchwartz, Allie
dc.creatorRamadorai, Tarun
dc.date2009-02-17T15:35:20Z
dc.date2009
dc.date.accessioned2012-06-07T22:08:34Z
dc.date.available2012-06-07T22:08:34Z
dc.date.issued2012-06-07
dc.identifierCampbell, John Y., Tarun Ramadorai, and Allie Schwartz. Forthcoming. Caught on tape: Institutional trading, stock returns, and earnings announcements. Journal of Financial Economics.
dc.identifier0304-405X
dc.identifierhttp://nrs.harvard.edu/urn-3:HUL.InstRepos:2609649
dc.identifier.urihttps://repositorio.leon.uia.mx/xmlui/123456789/33254
dc.descriptionMany 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.
dc.descriptionEconomics
dc.languageen_US
dc.publisherElsevier
dc.relationhttp://dx.doi.org/10.1016/j.jfineco.2008.03.006
dc.relationJournal of Financial Economics
dc.subjectpost-earnings
dc.subjecttrading
dc.subjectstock returns
dc.subjectannouncement drift
dc.subjectinstiutions
dc.titleCaught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements


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