Changes in Institutional Ownership and Subsequent Earnings Announcement Abnormal Returns

44 Pages Posted: 25 Jun 2002

See all articles by Ashiq Ali

Ashiq Ali

University of Texas at Dallas - Naveen Jindal School of Management

Cindy Durtschi

DePaul University - School of Accountancy and MIS

Baruch Lev

New York University - Stern School of Business

Mark A. Trombley

University of Arizona - Eller College of Management

Multiple version iconThere are 3 versions of this paper

Date Written: June 3, 2002

Abstract

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

Ali, Ashiq and Durtschi, Cindy and Lev, Baruch Itamar and Trombley, Mark A., Changes in Institutional Ownership and Subsequent Earnings Announcement Abnormal Returns (June 3, 2002). Available at SSRN: https://ssrn.com/abstract=315119

Ashiq Ali (Contact Author)

University of Texas at Dallas - Naveen Jindal School of Management ( email )

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HOME PAGE: http://www.utdallas.edu/~axa042200/

Cindy Durtschi

DePaul University - School of Accountancy and MIS ( email )

Chicago, IL 60604
United States
312-362-8789 (Phone)

Baruch Itamar Lev

New York University - Stern School of Business ( email )

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New York, NY 10012
United States
212-998-0028 (Phone)
212-995-4001 (Fax)

HOME PAGE: http://www.baruch-lev.com

Mark A. Trombley

University of Arizona - Eller College of Management ( email )

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Tucson, AZ 85721-0108
United States
520-621-4805 (Phone)
520-621-3742 (Fax)

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