This paper documents that mutual funds “herd”(trade together) into stocks with consensus
sell-side analyst upgrades, and herd out of stocks with consensus downgrades. This …

This paper combines daily buy and sell institutional trading volume with all news
announcements from Reuters. Using institutional order flow (buy volume minus sell volume) …

Using a large proprietary database of institutional trades, this paper examines the interim
(intraquarter) trading skills of institutional investors. We find strong evidence that institutional …

Government agencies routinely allow pre-release access to information to accredited news
agencies under embargo agreements. Using high-frequency data, we find evidence …

We survey the growing academic literature using Abel Noser data, including 55 publications
thus far. We analyze publication patterns to explore how the availability of a specialized …

Dominant theorisations of investment decision making remain firmly wedded to the notion of
economic rationality, either as a postulate of how financial actors actually behave or as a …

We make an extensive empirical study of the market impact of large orders (metaorders)
executed in the US equity market between 2007 and 2009. We show that the square root …

We study the interdependencies between transaction costs, portfolio characteristics, and
mutual fund performance. Using a novel data set of actual mutual fund trades, we find that …

Abstract Following the Global Settlement, analysts extensively use a top pick designation
allowing for greater granularity of information among buy recommended stocks, but conflicts …

Value and contrarian investment strategies are two basic approaches which are widely used
by investors worldwide. Both value and contrarian investment strategies are assumed to pick …