Journal of Financial Markets·Volume 36·November 2017

股息减少公告前的机构交易

作者：Darren Henry（La Trobe Business School, La Trobe University）

Lily Nguyen（La Trobe Business School, La Trobe University）

Viet Hung Pham（La Trobe Business School, La Trobe University）

摘要：利用1997-2011年间交易层面机构交易的大型专有数据库，我们发现机构投资者在股利减少的公司进行宣告前的两个季度是净卖家。他们还对那些没有准备削减股息或信息不对称更严重的公司进行更密集的交易。养老金计划发起人和基金经理的交易影响了市场对股息减少公告的反应。最后，所有的机构投资者在公告前两个季度通过交易赚取巨额利润，并且基金经理的盈利胜过养老金计划的发起人。

关键词：股息减少公告，机构交易

Institutional trading before dividend reduction announcements

Darren Henry（La Trobe Business School, La Trobe University）, Lily Nguyen（La Trobe Business School, La Trobe University）, Viet Hung Pham（La Trobe Business School, La Trobe University）

ABSTRACT

Using a large proprietary database of transaction-level institutional trades for the 1997–2011 period, we find that institutional investors are net sellers in dividend reduction firms during the two quarters prior to the announcements. They also trade more intensively in firms that do not prepare the market for dividend cuts or that have greater information asymmetry. Trading by both pension plan sponsors and money managers affects the market's reaction to the dividend reduction announcements. Finally, all institutional investors earn significant profits by trading in the two quarters prior to the announcements, and money managers outperform pension plan sponsors.

Keywords：Dividend reduction announcements, Institutional trading

原文链接：http://www.sciencedirect.com/science/article/pii/S1386418116301173#!

翻译：何杉