{"title":"战略投注:机构投资者信息优势分析","authors":"Yawen Jiao","doi":"10.2139/ssrn.3389091","DOIUrl":null,"url":null,"abstract":"Investors with future-return-related information use it to adjust past decisions that no longer fit. Using this rationale, we decompose institutional trading into adjustive (adjusting past portfolio decisions) and implied (implied by past portfolio weights) trades. Adjustive trades positively predict future stock returns and earnings surprises, whereas implied trades negatively predict returns. The return-predictability of adjustive trades is strong across all stock, institution, portfolio turnover, and flow types. It declines over time but persists among institutions with moderate investment horizons. An institutional investor’s tendency to trade adjustively and the performance of adjustive trades for the top 20% of institutions are highly persistent. The results illustrate the distribution and evolvement of institutional investors’ informational advantages.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Strategic bets: An Analysis of Institutional Investors’ Information Advantages\",\"authors\":\"Yawen Jiao\",\"doi\":\"10.2139/ssrn.3389091\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Investors with future-return-related information use it to adjust past decisions that no longer fit. Using this rationale, we decompose institutional trading into adjustive (adjusting past portfolio decisions) and implied (implied by past portfolio weights) trades. Adjustive trades positively predict future stock returns and earnings surprises, whereas implied trades negatively predict returns. The return-predictability of adjustive trades is strong across all stock, institution, portfolio turnover, and flow types. It declines over time but persists among institutions with moderate investment horizons. An institutional investor’s tendency to trade adjustively and the performance of adjustive trades for the top 20% of institutions are highly persistent. The results illustrate the distribution and evolvement of institutional investors’ informational advantages.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-06-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3389091\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3389091","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Strategic bets: An Analysis of Institutional Investors’ Information Advantages
Investors with future-return-related information use it to adjust past decisions that no longer fit. Using this rationale, we decompose institutional trading into adjustive (adjusting past portfolio decisions) and implied (implied by past portfolio weights) trades. Adjustive trades positively predict future stock returns and earnings surprises, whereas implied trades negatively predict returns. The return-predictability of adjustive trades is strong across all stock, institution, portfolio turnover, and flow types. It declines over time but persists among institutions with moderate investment horizons. An institutional investor’s tendency to trade adjustively and the performance of adjustive trades for the top 20% of institutions are highly persistent. The results illustrate the distribution and evolvement of institutional investors’ informational advantages.
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