机构交易、新闻和会计异常

IF 5.4 1区管理学 Q1 BUSINESS, FINANCE Journal of Accounting & Economics Pub Date : 2024-08-01 DOI:10.1016/j.jacceco.2024.101686

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引用次数: 0

摘要

以往的研究发现，机构投资者是否利用了资本市场的异常现象，证据不一。通过研究大量基于会计的异常现象样本，我们发现机构在过度反应异常现象中的交易方向是错误的，但在反应不足异常现象中的交易方向是正确的。这些不同的交易模式，与其说反映了机构不同的异常交易技巧，不如说是机构倾向于与新闻情绪同方向交易的简单解释。通过研究盈利新闻和新闻通稿的综合样本，我们发现这一解释得到了强有力的支持。最后，机构交易似乎会加剧（减轻）与反应过度（反应不足）异常相关的错误定价。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Institutional trading, news, and accounting anomalies

Previous studies find mixed evidence on whether institutional investors exploit capital market anomalies. Examining a large sample of accounting-based anomalies, we find that institutions trade in the wrong direction of overreaction anomalies, but in the right direction of underreaction anomalies. These heterogenous trading patterns, rather than reflecting institutions' differential anomaly trading skills, can be simply explained by institutions’ tendency to trade in the same direction as the sentiment of news. Examining earnings news and a comprehensive sample of newswire releases, we find strong support for this explanation. Finally, institutional trading appears to exacerbate (mitigate) mispricing associated with overreaction (underreaction) anomalies.

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来源期刊

Journal of Accounting & Economics Multiple-

CiteScore

8.70

自引率

6.80%

发文量

期刊介绍： The Journal of Accounting and Economics encourages the application of economic theory to the explanation of accounting phenomena. It provides a forum for the publication of the highest quality manuscripts which employ economic analyses of accounting problems. A wide range of methodologies and topics are encouraged and covered: * The role of accounting within the firm; * The information content and role of accounting numbers in capital markets; * The role of accounting in financial contracts and in monitoring agency relationships; * The determination of accounting standards; * Government regulation of corporate disclosure and/or the Accounting profession; * The theory of the accounting firm.