Author : Zhijuan Chen
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Book Synopsis Chinese Institutional Trading, Stock Returns and Earnings Announcements by : Zhijuan Chen
Download or read book Chinese Institutional Trading, Stock Returns and Earnings Announcements written by Zhijuan Chen and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on Chinese institutional trading and its relation with stock returns. We use the data of institutional ownership of Topview from Shanghai Stock Exchange to get daily order flow of dealers and mutual funds. We first document that their daily order flow is persistent in the short run and they adopt momentum strategy only in the short run. At the same time, there is a positive relation between Chinese institutional investor trading and future return in the short run and a zero relation in the long run. Chinese institutional investor trading can predict neither earning surprise nor post-earning-announcement returns. Furthermore, we find that Chinese institutional investors seem to follow a news momentum trading strategy after earnings announcements.