The Effect of Institutional Interest on the Information Content of Dividend‐change Announcements

Abstract

We test the hypothesis that the information content of dividend‐change announcements, as reflected in stock prices, is directly related to the degree of pre‐announcement information asymmetry in the stock. The dividend‐change announcements include initiations, large increases, large decreases, and omissions. Information asymmetry is proxied by the proportion of stock held by institutions. Consistent with the hypothesis, we document a significantly positive relation between the absolute values of the announcement‐period excess returns and the degree of pre‐announcement information asymmetry in the stock. This finding appears to hold for all types of dividend changes except dividend omissions.

Which Types of Traders and Orders Profit from Futures Market Trading?

“…Panel B of Exhibit 6 compares institutional traders and individual traders, revealing that institutional traders, on average, earn higher index-point returns than individual traders from all orders. The result is consistent with prior findings that institutional traders are better informed (Alangar et al [1999], andChakravarty [2001]). Panel C of Exhibit 6 displays the results from two independent sample t-tests and Wilcoxon rank-sum tests between futures proprietary firms and individual traders.…”

“…Previous studies find growing evidence that institutions are better informed than individuals (Szewczyk et al [1992]; Alangar et al [1999]; Dennis and Weston [2001]; and Chakravarty [2001]). While focusing on the stock markets, these studies document that institutional investors outperform individuals because they are more informed and worldly than individual investors and are capable of timing the market.…”

Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders

“…Thus, informed traders use market orders early on in the trading session. We also study the performance of institutional and Szewczyk et al (1992), Alangar et al (1999), and Dennis and Weston (2001) find corroborating evidence of institutions being better informed. Chakravarty (2001) finds that institutional medium-size orders have a significantly greater cumulative stock price impact than individual orders.…”

El impacto de la propiedad institucional de las administradoras de fondos de pensión sobre la política de dividendos: evidencia para Chile

“…Esta similitud también es observada para las variables APAL1, APAL2, Q (se destaca que este aumenta su significancia a 95%) y OPCRE. Esta no linealidad de la relación entre la propiedad institucional y la política de dividendos ha sido evidenciada y demostrada por Schooley y Barney (1994), Alangar et al (1999), Farinha (2003) Con el fin de estudiar la robustez de los resultados obtenidos en el estudio de la relación cuadrática entre las variables estudiadas, se reestimaron las regresiones separando las variables independientes de las variables de control, buscando aislar el posible efecto resultante de la selección de las variables de control. Los resultados de este análisis se detallan en el cuadro 6.…”