Valuation uncertainty, market sentiment and the informativeness of institutional trades

• Main Authors: YANG, Lisa, GOH, Jeremy, Chiyachantana, Chiraphol N.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Valuation uncertainty; Market sentiment; Institutional trading; Corporate Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5088; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6087/viewcontent/ValuationUncertaintyMarketSentiment_2016.pdf
• Institution: Singapore Management University

Prior studies indicate that institutional investors are informed, in the sense that their trades predict price changes. In this study we show that return predictive ability of institutions arises (after controlling for size, book-to-market, and momentum) mainly from institutional sales of hard-to-va...