Speaker: Zheng Lingling, Associate professor, Doctoral supervisor, Renmin Business School

Date: December 21, 2022

Time: 14:30-15:30

Location: Tencent Meeting

Sponsor: School of Economics, Shandong University

Abstract:

Recent studies (e.g., Edelen, Ince, and Kadlec (2016)) show that institutions trade contrary to anomaly prescriptions. Examining a large sample of well-documented anomalies, we find that institutional investors trade in the wrong direction of “overreaction” anomalies, but in the right direction of “underreaction” anomalies. These heterogenous trading patterns, rather than reflecting institutions’ differential anomaly trading skills, can be simply explained by institutions’ tendency to trade in the direction of news. Examining earnings news and a comprehensive sample of newswire releases, we find strong support for this explanation. Finally, institutional trading exacerbates (mitigates) market mispricing associated with overreaction (underreaction) anomalies.

For more information, please visit:

https://www.view.sdu.edu.cn/info/1020/173664.htm