Changes in Institutional Ownership and Subsequent Earnings Announcement Abnormal Returns
44 Pages Posted: 25 Jun 2002
Date Written: June 3, 2002
This study documents an association between change in institutional ownership during a calendar quarter and abnormal returns at the time of the subsequent announcement of quarterly earnings. The result is driven by the portfolio returns of the extreme deciles of changes in institutional ownership, and within the top (bottom) deciles, the third of the stocks with the most positive (negative) skewness of the distribution of changes in institutional ownership. We also show that our results obtain only for institutional investor types with short-term focus. These results suggest informed trading by institutions based on information about forthcoming earnings.
Keywords: institutional ownership, informed trading, correlated information
JEL Classification: G14
Suggested Citation: Suggested Citation