Do informed traders win? An analysis of changes in corporate ownership around substantial shareholder notices

Da Silva Rosa, R; Saverimuttu, N; Walter, TS

Do informed traders win? An analysis of changes in corporate ownership around substantial shareholder notices

Da Silva Rosa, R Saverimuttu, N Walter, TS

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Publisher:: Blackwell
Publication Type:: Journal Article
Citation:: International Review of Finance, 2005, 5 (3-4), pp. 113 - 148
Issue Date:: 2005-01

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Field	Value	Language
dc.contributor.author	Da Silva Rosa, R	en_US
dc.contributor.author	Saverimuttu, N	en_US
dc.contributor.author	Walter, TS	en_US
dc.date.issued	2005-01	en_US
dc.identifier.citation	International Review of Finance, 2005, 5 (3-4), pp. 113 - 148	en_US
dc.identifier.issn	1369-412X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10154
dc.description.abstract	The financial economics literature typically distinguishes between two classes of investors, namely `informed and `uninformed traders. Informed traders are those who possess some fundamental information about the true value of an asset, which is not readily available to other traders. Presuming that this information advantage is obtained from costly information search there is a general assumption that these traders realize superior returns. Unlike previous researchers, we access a unique panel of institutional and retail ownership (Clearing House Electronic Subregister System, CHESS records) that enable us to develop powerful measures that capture and benchmark abnormal changes in the share register across a number of dimensions. We find some evidence of a positive and significant relationship between the level of informed trading in the share register and abnormal market performance. However, our results suggest that informed traders move in and out of the share register in response to abnormal market performance, rather than in anticipation of abnormal market performance.	en_US
dc.publisher	Blackwell	en_US
dc.relation.ispartof	International Review of Finance	en_US
dc.title	Do informed traders win? An analysis of changes in corporate ownership around substantial shareholder notices	en_US
dc.type	Journal Article
utslib.citation.volume	3-4	en_US
utslib.citation.volume	5	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	3-4	en_US
pubs.volume	5	en_US

Abstract:

The financial economics literature typically distinguishes between two classes of investors, namely `informed and `uninformed traders. Informed traders are those who possess some fundamental information about the true value of an asset, which is not readily available to other traders. Presuming that this information advantage is obtained from costly information search there is a general assumption that these traders realize superior returns. Unlike previous researchers, we access a unique panel of institutional and retail ownership (Clearing House Electronic Subregister System, CHESS records) that enable us to develop powerful measures that capture and benchmark abnormal changes in the share register across a number of dimensions. We find some evidence of a positive and significant relationship between the level of informed trading in the share register and abnormal market performance. However, our results suggest that informed traders move in and out of the share register in response to abnormal market performance, rather than in anticipation of abnormal market performance.

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http://hdl.handle.net/10453/10154