Investor heterogeneity and trading

被引：9
|
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
相关论文
共 50 条
  • [1] Investor heterogeneity and momentum-based trading strategies in China
    Gao, Ya
    Han, Xing
    Li, Youwei
    Xiong, Xiong
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 74
  • [2] An Empirical Research on the Impact of Securities Margin Trading on Investor Heterogeneity
    Lv Yan-zhao
    Wang Gang
    Wu Xiao-jing
    2017 24TH ANNUAL INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, 2017, : 462 - 467
  • [3] Investor tax heterogeneity and ex-dividend day trading volume
    Dhaliwal, D
    Li, OZ
    JOURNAL OF FINANCE, 2006, 61 (01): : 463 - 490
  • [4] Short-term trading skill: An analysis of investor heterogeneity and execution quality
    Saglam, Mehmet
    Moallemi, Ciamac C.
    Sotiropoulos, Michael G.
    JOURNAL OF FINANCIAL MARKETS, 2019, 42 : 1 - 28
  • [5] Investor heterogeneity, trading account types and competing liquidity channels for Malaysian stocks
    Lim, Kian-Ping
    Thian, Tze-Chung
    Hooy, Chee-Wooi
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2017, 41 : 220 - 234
  • [6] Investor trading behavior, investor sentiment and asset prices
    Yang, Chunpeng
    Zhou, Liyun
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2015, 34 : 42 - 62
  • [7] Investor overconfidence and trading volume
    Statman, Meir
    Thorley, Steven
    Vorkink, Keith
    REVIEW OF FINANCIAL STUDIES, 2006, 19 (04): : 1531 - 1565
  • [8] Trading Gamification and Investor Behavior
    Chapkovski, Philipp
    Khapko, Mariana
    Zoican, Marius
    MANAGEMENT SCIENCE, 2024,
  • [9] Investor Attention and Insider Trading
    Mansi, Sattar
    Peng, Lin
    Qi, Jianping
    Shi, Han
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2025,
  • [10] Investor sentiment and trading behavior
    Campisi, Giovanni
    Muzzioli, Silvia
    CHAOS, 2020, 30 (09)
12345