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Can Institutional Investors Trade on News? Evidence from Firm-Level and Macroeconomic Announcements
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| 자료유형 | 학위논문 |
|---|---|
| 서명/저자사항 | Can Institutional Investors Trade on News? Evidence from Firm-Level and Macroeconomic Announcements. |
| 개인저자 | Akepanidtaworn, Klakow. |
| 단체저자명 | The University of Chicago. Business and Economics. |
| 발행사항 | [S.l.]: The University of Chicago., 2019. |
| 발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2019. |
| 형태사항 | 83 p. |
| 기본자료 저록 | Dissertations Abstracts International 81-04A. Dissertation Abstract International |
| ISBN | 9781085775267 |
| 학위논문주기 | Thesis (Ph.D.)--The University of Chicago, 2019. |
| 일반주기 |
Source: Dissertations Abstracts International, Volume: 81-04, Section: A.
Advisor: Kroszner, Randall |
| 이용제한사항 | This item must not be sold to any third party vendors.This item must not be added to any third party search indexes. |
| 요약 | Using the database of holding and trades of global institutional investors, we show that discretionary, long-only equity investors pay immediate attention to both macroeconomic and firm-level news. On earnings and macro announcement days, the number of traded positions and trade sizes increase by 20%-50%, regardless of news content, for both buy and sell trades. The increases in trading activities are high and persistent over time. However, not all trades on announcement days are informed. The informed trades lie in one domain - trading on the firm-specific information. Earnings announcement news helps investors make informed trades, especially the sell trades. The average sell performance on earnings announcement increases by about 1%-3% per year, compared to sell trades on non-announcement days. This skill on trading on firm-specific information is not subject to decreasing returns to scale. Investors who trade more on earnings announcement news also have higher fund alpha by nine basis points at the one-year horizon for every 1% increase in trading activity on earnings announcement. Despite increases in trading activities on macroeconomic announcement days, trading performances on those days add little value, and are worse than trades on non-macroeconomic announcement days on average. These results are consistent with the fractionation hypothesis and the difficulty in trading upon the macroeconomic information. Institutional investors overextend their domain of skills in trading on firm-specific information to other types of unfamiliar, hard-to-trade information. |
| 일반주제명 | Finance. Economics. |
| 언어 | 영어 |
| 바로가기 | 
: 이 자료의 원문은 한국교육학술정보원에서 제공합니다. |
