The Information Content of Institutional Trades on the London Stock Exchange
利用伦敦证券交易所所有机构大宗交易数据，分析买卖交易的市场反应，发现基金经理的大额交易信息含量最强，而其他交易的信息效应和价格影响不对称性有限。
Abstract We construct a unique data set that includes all reported institutional block trades on the London Stock Exchange and analyze the market reaction to buy and sell trades. We find that the type of investors behind the trade and the combination of the trade's size and the trader's resulting level of ownership are the major determinants of the information effects and the asymmetry between price impacts of buy and sell trades. In particular, large trades undertaken by fund managers, the most active investors in our sample, have strong information content, while, for the remaining trades, we report limited support for the information and the price impact asymmetry hypotheses. These results hold even after accounting for trade complexity and volatility effects in the regressions.