Are Trade Size‐Based Inferences About Traders Reliable? Evidence from Institutional Earnings‐Related Trading

The use of observed transaction sizes to differentiate between “small” and “large” investor trading patterns is widespread. A significant concern in such studies is spurious effects attributable to misclassification of transactions, particularly those originating from large investors. Such effects can arise unintentionally, strategically, or endogenously. We examine comprehensive records of a sample of institutional investors (i.e., “large” traders), including their order sizes and overall position changes, to assess the degree to which such misclassifications give rise to spurious inferences about “small” and “large” investor trading activities. Our analysis shows that these institutions are heavily involved in small transaction activity. It also shows that they increase their order sizes substantially in announcement periods relative to nonannouncement periods, presumably as an endogenous response to earnings news. In the immediate earnings announcement period, transaction size‐based inferences about directional trading are quite misleading—producing spurious “small trader” effects and, more surprisingly, erroneous inferences about “large trader” activity.     

马中经贸合作渐入佳境

中马建交30多年来,两国政治关系日趋成熟,经贸合作已进入全面发展的新时 期。近日,马来西亚最高元首西拉杰丁应胡锦涛主席的邀请对我国进行为期7天的国 事访问。西拉杰丁说,马方坚定奉行一个中国政策并致力于不断加强相互尊重、互利 友好的马中合作关系。 2005年2月26-27日,《中国对外贸易》理事会2005年年会暨"中国经济发展与 对外贸易合作"论坛在吉隆坡隆重召开,马来西亚前副首相、马中商务理事会会长丹 斯里慕莎在会上表示:愿与中方携手努力,弘扬传统友谊,把睦邻友好合作关系提高 到更高的水平。