Investor heterogeneity and trading

被引：10
|
作者：
Knyazeva, Anzhela [1 ]
Knyazeva, Diana [1 ]
Kostovetsky, Leonard [2 ]
机构：
[1] Secur & Exchange Commiss, Washington, DC 20549 USA
[2] Boston Coll, Carroll Sch Management, Chestnut Hill, MA 02167 USA
来源：
EUROPEAN FINANCIAL MANAGEMENT | 2018年 / 24卷 / 04期
关键词：
information; institutional investors; investor heterogeneity; spreads; trading volume; ANALYSTS EARNINGS FORECASTS; MUTUAL FUND PERFORMANCE; INSTITUTIONAL INVESTORS; STOCK RETURNS; INFORMATION-CONTENT; INDIVIDUAL INVESTORS; PRIVATE INFORMATION; LARGE SHAREHOLDERS; TRANSACTION COSTS; MARKET REACTION;
D O I：
10.1111/eufm.12169
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Institutional investors play a crucial role in the information environment of firms. We argue that heterogeneity in the information ability of institutional investors has a significant impact on trading around information releases. We propose novel measures of within-firm investor heterogeneity and find that investor heterogeneity increases abnormal trading volume around news, holding constant the average levels of investor sophistication. We also find larger spread reductions around announcements for firms with greater investor heterogeneity. The effect of investor heterogeneity on trading continues to hold after accounting for total institutional ownership, the presence of certain types of institutional investors, and analyst coverage.
引用
收藏
页码：680 / 718
页数：39
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