Journal of Financial Markets, Available online 21 July 2017

削减股息公告前的机构交易

作者：Darren Henry (La Trobe University ), Lily Nguyen (La Trobe University), Viet Hung Pham (La Trobe University)

摘要：通过使用1997至2011年间专有数据库大量交易层面的机构交易数据，我们发现在公司发布削减股息公告前的2个季度，机构投资者是其净卖出者。在市场未预期股息削减和存在更大信息不对称的公司中，交易也更集中。养老计划管理人和基金经理的交易都会影响市场对削减股息公告的反应。最后，所有机构投资者在公告前2个季度的交易中显著获利，基金经理表现胜于养老计划管理人。

关键词：削减股息公告；机构交易

Institutional trading before dividend reduction announcements

Darren Henry (La Trobe University ), Lily Nguyen (La Trobe University ), Viet Hung Pham (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：黄怡文