The impact of public information on investors |
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| Institution: | 1. Monash Business School, Monash University, Australia;2. Department of Accounting, University of Melbourne, Australia;1. Singapore Management University, Lee Kong Chain School of Business, Singapore 178899, Singapore;2. University of Florida, Warrington College of Business Administration, Gainesville, FL 32611-7168, USA;1. Carlson School of Management, University of Minnesota, 321 19th Ave South, Minneapolis, MN 55455, United States;2. Kogod School of Business, American University, 4400 Massachusetts Ave NW, Washington, DC 20016, United States |
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| Abstract: | This study investigates the trading behavior of institutional and individual investors around both firm-specific news releases in the Wall Street Journal and macro-economic announcements. For the firm-specific news releases we find that investors conduct a high degree of trading around news releases, especially earnings and dividend news. Institutions buy and sell on both good and bad news, while individual investors only trade on good news. The length of the news article (visibility) is also an important attribute to motivate individual investor trading. Lastly, both institutions and individuals buy large firms after good economic news and sell large firms after bad economic news. The trading of small firms does not appear to be motivated by macro-news. |
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