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Please use this identifier to cite or link to this item: https://hdl.handle.net/1959.11/58365
Title: Individual and Institutional Informed Trading in Competing Firms around Earnings Announcements
Contributor(s): Mudalige, Priyantha  (author)orcid ; Kalev, Petko S (author); Gupta, Kartick (author); Duong, Huu Nhan (author)
Publication Date: 2017
DOI: 10.2139/ssrn.2901338
Handle Link: https://hdl.handle.net/1959.11/58365
Abstract: 

This study investigates individual and institutional trading activities before and after earnings announcements to infer informed trading in competing firms. We find evidence for individual and institutional informed trading in competing firms before earnings announcements. Magnitude of institutional (individual) net order flow coefficient decreases (increases) with lag length, suggesting institutional trading captures information faster than individual trading. Individual net order flow transmit information cross-stock when competitor is a small firm while institutional net order flow conveys information cross-stock irrespective of firm size. Institutional trading in competing firm exhibits cross-stock price impact before earnings announcements. Our results will be informative for regulators with regard to insider trading laws and provide insights on the impact of individual and institutional trading on cross-stock price discovery process.

Publication Type: Conference Publication
Source of Publication: SSRN, p. 1-42
Publisher: Victoria University of Wellington
Place of Publication: New Zealand
Fields of Research (FoR) 2020: 3502 Banking, finance and investment
Socio-Economic Objective (SEO) 2020: tbd
Peer Reviewed: Yes
HERDC Category Description: E1 Refereed Scholarly Conference Publication
Publisher/associated links: https://web.archive.org/web/20180212041547/https://www.victoria.ac.nz/sacl/about/events/financial-markets-and-corporate-governance-conference-2017/call-for-papers
https://www.victoria.ac.nz/sacl/about/events/financial-markets-and-corporate-governance-conference-2017
Appears in Collections:Journal Article
UNE Business School

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