Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes
利用专有数据集，研究了短期私有信息如何影响交易策略和流动性提供，发现早期知情交易者在“买入谣言”后“卖出新闻”，且不同机构存在不同的获利模式，非知情机构成为知情机构的流动性提供者。
We use a proprietary data set to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publicly announced. We provide the first empirical evidence supporting theoretical predictions that early-informed traders “sell the news” after “buying the rumor.” Further, we find distinct profit-taking patterns across different classes of institutions. Uninformed institutions, but not individuals, emerge as de facto liquidity providers to better-informed institutions. Placebo tests confirm that these trading patterns are unique to situations in which some investors have a short-lived informational advantage.