| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6394 |
| DP6394 Optimal Portfolio Allocation for Corporate Pension Funds | |
| David Miles; David McCarthy | |
| 发表日期 | 2007-07-20 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Many questions about institutional trading can only be answered if one can track high-frequency changes in institutional ownership. In the U.S., however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behaviour from the ?tape?, the Transactions and Quotes database of the New York Stock Exchange, using a sophisticated method that best matches quarterly 13-F data. We find that daily institutional trades are highly persistent and respond positively to recent daily returns but negatively to longer-term past daily returns. Institutional trades, particularly sells, appear to generate short-term losses - possibly reflecting institutional demand for liquidity - but longer-term profits. One source of these profits is that institutions anticipate both earnings surprises and post-earnings-announcement drift. These results are different from those obtained using a standard size cutoff rule for institutional trades. |
| 主题 | Financial Economics |
| 关键词 | Earnings announcements Institutions Liquidity Post-earnings-announcement-drift Trading |
| URL | https://cepr.org/publications/dp6394 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535233 |
| 推荐引用方式 GB/T 7714 | David Miles,David McCarthy. DP6394 Optimal Portfolio Allocation for Corporate Pension Funds. 2007. |
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