Institutional ownership changes and returns around analysts’ earnings forecast release events: Evidence from Taiwan |
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| Affiliation: | 1. School of Accounting and Finance, University of Waterloo, Canada;2. Shenzhen Stock Exchange Research Institute, China;3. College of Business, City University of Hong Kong, Hong Kong, China;1. Business School, Beijing Normal University, China;2. School of Economics and Management, Tsinghua University, China;1. Department of Finance, E.J. Ourso College of Business Administration, Louisiana State University, Baton Rouge, LA 70803-6308, USA;2. Department of Economics, College of Social Sciences, National Taiwan University, 21 Hsu-Chow, Road, 10055 Taipei City, Taiwan, ROC;1. Department of Finance, I-Shou University, Taiwan;2. Fuzhou University of International Studies and Trade, China;3. Guangxi Normal University, China;4. Department of Leisure Management, Yu Da University of Science and Technology, Taiwan |
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| Abstract: | Traditional data sources do not have institutional holding data on a daily basis. Because of this, most prior empirical studies of institutional herding have focused on quarterly or annual data. The problem, however, with using quarterly or annual data on institutional holdings is that these data may not reveal institutional herding if it occurs over a shorter time interval. For this study, we make use of data from the Taiwan Stock Exchange (TSE). Unlike traditional data sources, the TSE provides daily institutional holdings information. The use of this detailed data allows us to make more interesting analysis and inferences. In this study, we examine the relationship between institutional ownership changes and returns localized around analysts’ earnings forecast release events. Analysis of institutional ownership and return data around the earnings release event allows us to investigate institutional herding and feedback behavior in a different level. Our major results are as follows: (1) there exists a relation between company specific attributes and institutional herding, (2) observed changes in institutional ownership and contemporaneous return are mainly the results of inter-day price impact of herding, (3) institutional investors show evidence of being informed traders in buying but not selling. |
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