Accounting Earnings Announcements, Institutional Investor Concentration, and Common Stock Returns
研究机构投资者持股比例与季度盈余公告日股价波动的关系，发现机构投资者通过信息生产影响公告信息含量，对理解股价波动有用。
[Excerpt] This study examines the relation between the level of institutional investor ownership and the magnitude of security price variability at quarterly earnings announcement dates. Prior research consistently documents a negative association between firm size and announcement-date return variability. One explanation for this finding is that as more timely, alternative information becomes available on large firms prior to an announcement date, their security prices become informative, thereby reducing the information content of the earnings announcement. Large firms are closely followed by institutional investors. These investors dedicate substantial resources to information search. Therefore, the link between size and information production may be attributable to the influence of institutional investors on the information production process. Because institutional trades can also affect security prices, however, the precise impact of institutional following on the variability of prices at quarterly earnings dates is not evident.