Market Behavior of Institutional Investors around Bankruptcy Announcements
利用澳大利亚证券交易所的专有数据，研究了机构投资者是否在财务困境公告前集体退出，发现退出是渐进的，始于事件前约115天，主要由主动型机构投资者在最后公开财务报告发布后驱动。
Abstract This paper examines, using proprietary ASX data containing institutional holdings, if institutional investors exit en mass prior to announcements of financial distress. Evidence indicates that while some institutional investors exit the stock, the withdrawal is gradual, commencing approximately 115 days prior to event. This is driven by active institutional investors reacting to the release of the financially distressed companies’ last publicly released financial reports. There is no significant decline in institutional holdings before announcements; most institutional investors hold financially distressed shares through to failure. There is evidence that the lack of disclosure drives the increase in information asymmetry prior to company failure.