Which Institutional Investors Trade Based on Private Information About Earnings and Returns?
通过检验机构投资者基于私有信息建立和清算头寸的行为，发现持有大额头寸的机构交易更可能基于私有信息，且这种交易在小公司和投资顾问及大型机构中更常见。
ABSTRACT Recent work suggests that institutional investors execute profitable trades based on private information about earnings and returns. We provide new evidence on the prevalence and sources of such informed trading by (1) testing for the creation and liquidation of positions based on private information, (2) introducing private information proxies that reflect the size and nature of an institution's position in each portfolio firm, and (3) using a methodology that examines multiple investor characteristics simultaneously at the institution‐firm level. We find that changes in ownership by institutions with large positions in a firm are consistent with informed trading. However, other previously documented proxies for private information produce results more consistent with risk‐based trading (e.g., investment style) or insignificant in the presence of other proxies (e.g., fiduciary type). We also find that informed trading is more prevalent in small firms and when the large positions are taken by investment advisers and large institutions.