A Better Measure of Institutional Informed Trading
提出机构投资者数量百分比变化（PC_NII）作为新的知情交易度量，相比传统机构持股变化（ΔIO）更能捕捉私有信息，且能预测股票收益和未来盈余意外。
Abstract Although many studies show that the presence of institutional investors facilitates the incorporation of accounting information into financial markets, the evidence of informed trading by institutions is rather limited in the extant literature. We address these inconsistent findings by proposing PC _ NII , percentage changes in the number of a stock's institutional investors, as a novel informed trading measure. PC _ NII is better able to detect informed trading than are changes in institutional ownership ( Δ IO )—the measure commonly used in previous studies—because (i) entries and exits are usually triggered by substantive private information and (ii) only a small fraction of institutions have superior information. As conjectured, PC _ NII subsumes the information content of Δ IO and other institutional trading and herding measures in the forecast of stock returns, and its strong predictive power for stock returns reflects mainly its close correlation with future earnings surprises. We also show that PC _ NII helps address empirical issues that require a reliable measure of institutional informed trading.