TY - JOUR
T1 - Who trades in competing firms around earnings announcements
AU - Mudalige, Priyantha
AU - Duong, Huu Nhan
AU - Kalev, Petko S.
AU - Gupta, Kartick
PY - 2020/2
Y1 - 2020/2
N2 - This study investigates individual and institutional trading activities around earnings announcements. We find evidence of individual and institutional informed trading in competing firms before earnings announcements. We also observe that institutional trading exhibits quicker incorporation of new information, which suggests that institutional investors are more likely to use private information in trading in competing firms. The individual net order flow transmits information cross-stock when a competitor is a small firm, while institutional net order flow conveys information cross-stock irrespective of firm size. Finally, we find that institutional trading in competing firms exhibits cross-stock price impact before earnings announcements.
AB - This study investigates individual and institutional trading activities around earnings announcements. We find evidence of individual and institutional informed trading in competing firms before earnings announcements. We also observe that institutional trading exhibits quicker incorporation of new information, which suggests that institutional investors are more likely to use private information in trading in competing firms. The individual net order flow transmits information cross-stock when a competitor is a small firm, while institutional net order flow conveys information cross-stock irrespective of firm size. Finally, we find that institutional trading in competing firms exhibits cross-stock price impact before earnings announcements.
KW - Competing firms
KW - Cross-stock price impact
KW - Earning announcements
KW - Informed trading
KW - Institutional and individual investors
UR - http://www.scopus.com/inward/record.url?scp=85075263658&partnerID=8YFLogxK
U2 - 10.1016/j.pacfin.2019.101219
DO - 10.1016/j.pacfin.2019.101219
M3 - Article
AN - SCOPUS:85075263658
VL - 59
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
SN - 0927-538X
M1 - 101219
ER -