Using a proprietary dataset comprising of the trading records of individual investors from a UK brokerage firm, we examine whether behavioural bias of individual investors is exacerbated by different market conditions. We find some evidence that investors who are prone to overconfidence trade...

We examine the effect of algorithmic trading (AT) on the US mutual fund performance and find that funds holding stocks with higher AT intensity have lower holdings return and higher interim trading profits as measured by return gap. This positive effect of AT on return gap survives controls of...

This paper examines institutions’ investment strategies towards environmental and social (E&S) stocks during the COVID-19 pandemic. We find a shift towards E&S by institutions in the first quarter of 2020 when the pandemic hit the financial market. We then demonstrate that high E&S portfolios...

We examine how trading by institutional traders affects those by insiders. Using data at the trade level, we find insiders complete their trades faster when institutions trade on the same side in the stock. The effect of institutional activity on insider trading is more pronounced when insiders...

Using transaction-level institutional trades and a firm's negative ESG incidents, we findthat institutional investors adjust their order flow prior to these non-financial events.First, their trading is in the same direction of post-event cumulative abnormal returnsand results in abnormal...

Using XBRL as a quasi-natural experiment, we examine whether the mandated improvement on financial information presentation attenuates the profitability of insiders' trades. We provide unique insights on how insiders profit from publicly available information. We find that XBRL adoption...

This paper provides evidence that institutional investors’ concern for firms’ environment, social and governance (ESG) is reflected in their trading activity around firms’ negative ESG incidents. We show that institutional investors reduce net purchases around these incidents, and the...

Recent research has raised concerns over whether the probability of informed trading model (PIN) is an appropriate proxy of information asymmetry. We investigate PIN and test whether the model can detect illegal insider trading prior to M&A announcements. We then compare the performance of PIN...