Are Institutions Informed About News?

Détails

ID Serval
serval:BIB_1D308C9569AD
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Are Institutions Informed About News?
Périodique
Journal of Financial Economics
Auteur(s)
Hendershott T., Livdan D., Schuerhoff N.
ISSN
0304-405X
Statut éditorial
Publié
Date de publication
08/2015
Peer-reviewed
Oui
Volume
117
Numéro
2
Pages
249-287
Langue
anglais
Résumé
This paper combines daily buy and sell institutional trading volume with all news announcements from Reuters. Using institutional order flow (buy volume minus sell volume) we find a variety of evidence that institutions are informed. Institutional trading volume predicts the occurrence of news announcements. Institutional order flow predicts (i) the sentiment of the news; (ii) the stock market reaction on news announcement days; (iii) the stock market reaction on crisis news days; and (iv) earnings announcement surprises. These results suggest that significant price discovery related to news stories occurs through institutional trading prior to the news announcement date.
Mots-clé
Institutions, Trading, Stock returns, News sentiment
Web of science
Création de la notice
26/10/2016 14:48
Dernière modification de la notice
21/08/2019 5:16
Données d'usage