Informational Advantages and Institutional Trading around Earnings Announcements
Based on a unique database that provides the institutional investors” daily trade data on China”s stock market, this study investigates the institutional investors” information advantages by testing the trading strategies of institutional investors around earnings announcements in China.Our findings suggest the possibility that institutional investors trade on private information about earnings surprises.Moreover, a bad information environment restricts institutional investors” ability to exploit PEAD strategies.Further evidence indicates that institutional investors” trading activities accelerate the speed at which stock prices incorporate earnings information.This study can help the intemational investment community develop a better understanding of the role of institutional investors in China”s equity market.
information asymmetry post-earnings announcement drift institutional investors market efficiency China
袁渊
清华大学经济管理学院
国内会议
广州
英文
401-430
2012-08-01（万方平台首次上网日期，不代表论文的发表时间）