Tipping

Are Institutions Informed about News?

“…Boehmer and Wu (2008) and Boulatov, Hendershott, and Livdan (2013) find that institutional trading predicts returns at the firm, industry, and market levels. Irvine, Lipson, and Puckett (2007) find a significant increase in institutional trading and profitable buying beginning five days prior to the public release of analysts' initial reports containing positive recommendations. Campbell, Ramadorai, and Schwartz (2009) infer institutional trading by linking quarterly changes in institutional holding from 13-F filings with daily trades by size category and a buy-sell classification algorithm.…”

Non-Fundamental Information and Market-Makers' Behavior During the NASDAQ Preopening Session

“…15 It contains the ticker symbol, date, time and all preopening quotes (from 8:00 a.m. to 9:30 a.m.) of a sample of 52 NASDAQ stocks from October 1, 1995 through September 30, 1996 (252 trading days). 16 The dataset includes all market-makers identifications ('MPID's) and consists of (i) the 14 Market-makers with sell-side research coverage tend to be more active in the liquidity provision and the price discovery process (Madureira and Underwood, 2008), to post aggressive quotes in anticipation of changes in stock recommendations by analysts from the same market-maker firm (Heidle and Li, 2005), or to tip some of their institutional clients prior to the release of analysts' reports (Irvine, Lipson and Puckett, 2007). 15 I warmly thank Frank Hatheway for kindly providing a copy of the Bridge preopening dataset.…”

Informed Trading in Oil-Futures Market

“…Our work takes a different approach, building on recent contributions by Irvine et al (2007), Christophe et al (2010), Blau and Wade (2012) and Bernile et al (2016), where the focus is on the detection of information leakage before official announcements. 9 In contrast with previous work such as Ederington and Lee (1995), these papers go beyond the simple analysis of return patterns to assess the possibility of leakage by taking into account order imbalance as a symptom of informed trading.…”