Investor heterogeneity and trading
研究发现机构投资者的信息能力差异会显著影响信息发布前后的交易行为，异质性越高的公司，新闻发布时的异常交易量越大，买卖价差缩小也越明显。
Abstract Institutional investors play a crucial role in the information environment of firms. We argue that heterogeneity in the information ability of institutional investors has a significant impact on trading around information releases. We propose novel measures of within‐firm investor heterogeneity and find that investor heterogeneity increases abnormal trading volume around news, holding constant the average levels of investor sophistication. We also find larger spread reductions around announcements for firms with greater investor heterogeneity. The effect of investor heterogeneity on trading continues to hold after accounting for total institutional ownership, the presence of certain types of institutional investors, and analyst coverage.