We study the relation between institutional shareholdings, private information in stock prices and the cost of capital. Using the probability of informed trading as a proxy for private information, we find that institutional ownership reduces private information in stock prices, and firms with...

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

This paper investigates the dynamic relation between information-based trading of a stock and its daily return and risk. It develops a theoretical model to motivate the regression specifications for empirical analysis. Based on two samples of stocks, we demonstrate that the expected trading...

Our empirical evidence establishes a positive association between short-term institutional ownership and private information in stock trading but a negative correlation between long-term institutional ownership and private information. These relations suggest that short-term institutional...