Institutional Investors and the Information Content of Earnings Announcements: The Case of Poland
Posted: 30 Jan 2004
Date Written: January 2004
This paper investigates the relationship between market reaction to earnings surprises and institutional concentration in the firm's shareholders base. We use data from the Polish stock market where pension funds form a homogenous and highly competitive investor class with an increasing share in the market capitalisation and trading volume. We find evidence that higher pension funds holdings in a company tend to reduce the magnitude of market reaction around public disclosures. We interpret these findings as an information advantage that funds have over individual investors. The advantage, however, does not influence the market in a systematic way, as we also find that company mangers are selective as to the type of information they provide to the market prior to their scheduled disclosures.
Keywords: Earnings surprises, public disclosure, information advantage, institutional investors
JEL Classification: G14, G23, M41
Suggested Citation: Suggested Citation