Who trades in competing firms around earnings announcements

Author(s)
Mudalige, Priyantha
Duong, Huu Nhan
Kalev, Petko S
Gupta, Kartick
Publication Date
2020-02
Abstract
<p>This study investigates individual and institutional trading activities around earnings announcements. We find evidence of individual and institutional informed trading in competing firms before earnings announcements. We also observe that institutional trading exhibits quicker incorporation of new information, which suggests that institutional investors are more likely to use private information in trading in competing firms. The individual net order flow transmits information cross-stock when a competitor is a small firm, while institutional net order flow conveys information cross-stock irrespective of firm size. Finally, we find that institutional trading in competing firms exhibits cross-stock price impact before earnings announcements.</p>
Citation
Pacific-Basin Finance Journal, v.59
ISSN
0927-538X
Link
Language
en
Publisher
Elsevier BV
Title
Who trades in competing firms around earnings announcements
Type of document
Journal Article
Entity Type
Publication

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