The Year-End Trading Activities of Institutional Investors: Evidence from           Daily Trades

Clifford S. Ang

doi:10.2469/dig.v44.n12.2

Differential informativeness of analyst reports by investor types

Managerial Finance ◽

10.1108/mf-06-2016-0166 ◽

2017 ◽

Vol 43 (5) ◽

pp. 567-594 ◽

Cited By ~ 2

Author(s):

Kyung Soon Kim ◽

Jinwoo Park ◽

Yun W. Park

Keyword(s):

Institutional Investors ◽

Trading Volume ◽

Individual Investors ◽

Release Dates ◽

Firm Characteristics ◽

Volume Data ◽

Content Type ◽

Trading Activities ◽

Foreign Institutional Investors ◽

Trading Responses

Purpose The purpose of this paper is to investigate whether there is any difference across individual investors, domestic and foreign institutional investors in trading volume responses to analyst reports. The authors also examine the determinants of trading volume responses using firm as well as forecast characteristics. Design/methodology/approach The authors use trading data from the Korean equity market. The authors divide investors into three classes of investors; namely, individual investors, domestic institutional investors, and foreign institutional investors. The authors then examine whether the trading responses to analyst reports vary across investor types, and how firm characteristics and characteristics of analyst reports influence the trading activities on the release dates across investor types. Findings Individual investors are the most responsive investor group, being responsive to analyst reports on small, neglected firms with large inside ownership as well as to analyst reports with optimistic forecasts. Domestic institutional investors are responsive to reports on neglected firms with high return volatility while foreign institutional investors show least responses. Originality/value There are few studies that investigate whether the trading responses to analyst reports vary across investor types and how firm characteristics and characteristics of analyst reports influence the trading activities on the release dates across investor types. Taking advantage of the trading volume data for the three main investor types in the Korean stock market, the authors study the trading volume responses for each investor type and make comparisons across investor types.

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Who Are Better Informed Before Analysts’ Forecast Changes?

Gadjah Mada International Journal of Business ◽

10.22146/gamaijb.5656 ◽

2014 ◽

Vol 16 (3) ◽

pp. 223

Author(s):

Tae-Jun Park ◽

Sujin Yi ◽

Kyojik “Roy” Song

Keyword(s):

Information Asymmetry ◽

Stock Returns ◽

Institutional Investors ◽

Trade Imbalance ◽

Foreign Investors ◽

Stock Recommendations ◽

Trading Activities

Using Korean data, we investigate information asymmetry among investors before analysts change their stock recommendations. By comparing trading activities between individuals, institutions, and foreign investors, we find that there is information asymmetry before analysts change their recommendations. Institutional investors buy/sell the stock before recommendation upgrades/downgrades, but individuals and foreign investors do not anticipate the upcoming news. We also document that the trade imbalance of institutional investors are associated with stock returns upon the announcements of recommendation changes. This result indicates that institutions take advantage of their superior information around the recommendation changes.

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The Year-End Trading Activities of Institutional Investors: Evidence from Daily Trades

Review of Financial Studies ◽

10.1093/rfs/hht057 ◽

2013 ◽

Vol 27 (5) ◽

pp. 1593-1614 ◽

Cited By ~ 45

Author(s):

Gang Hu ◽

R. David McLean ◽

Jeffrey Pontiff ◽

Qinghai Wang

Keyword(s):

Institutional Investors ◽

Trading Activities

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Institutional Investors on the Securities Market

Voprosy Ekonomiki ◽

10.32609/0042-8736-2003-8-95-101 ◽

2003 ◽

pp. 95-101

Author(s):

O. Khmyz

Keyword(s):

Financial Crisis ◽

Capital Market ◽

Hedge Funds ◽

Institutional Investors ◽

Securities Market ◽

Main Role ◽

Investment Funds ◽

Investment Process ◽

The Capital Market

Acording to the author's opinion, institutional investors (from many participants of the capital market) play the main role, especially investment funds. They supply to small-sized investors special investment services, which allow them to participate in the investment process. However excessive institutialization and increasing number of hedge-funds may lead to financial crisis.

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Pricing models of shares of Russian companies and their practical application

Voprosy Ekonomiki ◽

10.32609/0042-8736-2019-3-48-76 ◽

2019 ◽

pp. 48-76 ◽

Cited By ~ 1

Author(s):

Alexander E. Abramov ◽

Alexander D. Radygin ◽

Maria I. Chernova

Keyword(s):

Stock Market ◽

Institutional Investors ◽

Factor Model ◽

Investment Strategies ◽

Pricing Models ◽

Foreign Portfolio Investment ◽

Market Portfolio ◽

Stock Market Performance ◽

Long Time ◽

Russian Stock Market

The article analyzes the problems of applying stock pricing models in the Russian stock market. The novelty of the study lies in the peculiarities of the methodology used and the substantive conclusions on the specifics of the influence of fundamental factors on the pricing of shares of Russian companies. The study was conducted using its own 5-factor basic pricing model based on a sample of the most complete number of issues of shares of Russian issuers and a long time horizon, from 1997 to 2017. The market portfolio was the widest for a set of issuers. We consider the factor model as a kind of universal indicator of the efficiency of the stock market performance of its functions. The article confirms the significance of factors of a broad market portfolio, size, liquidity and, in part, momentum (inertia). However, starting from 2011, the significance of factors began to decrease as the qualitative characteristics of the stock market deteriorated due to the outflow of foreign portfolio investment, combined with the low level of development of domestic institutional investors. Also identified is the cyclical nature of the actions of company size and liquidity factors. Their ability to generate additional income on shares rises mainly at the stage of the fall of the stock market. The results of the study suggest that as domestic institutional investors develop on the Russian stock market, factor investment strategies can be used as a tool to increase the return on investor portfolios.

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