Using the relationship between institutional trades and sequential public information, this study provides a systematic way to identify institutional trades that are informative about future equity returns. By studying the US financial institutions from 1994 to 2016, I show that institutional trades initiated by managers responding proactively to upcoming informational signals strongly predict future stock returns. The predictability of informed institutions is more evident for stocks with higher information asymmetry and in periods of higher profit opportunities. The informed institutions outperform the uninformed ones by 2% on an annualized basis and their performance gap is persistent. Importantly, the return predictability of informed institutional trades is not subsumed by the return-predictive signals documented in prior research, computed either from institutional holdings or from financial statements. Further analyses show that the informed institutional investors derive their superior ability to forecast future stock returns from processing corporate fundamentals and acquiring private information. This study derives a novel return predictor using the institutions' proactive trading behavior and identifies various informational sources of informed traders.

中文翻译：

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如何通知机构？主动交易、信息流和选股策略*

本研究利用机构交易与连续公开信息之间的关系，提供了一种系统的方法来识别对未来股票回报提供信息的机构交易。通过对 1994 年至 2016 年美国金融机构的研究，我表明由经理人主动响应即将到来的信息信号发起的机构交易强烈预测未来股票回报。对于信息不对称程度较高和盈利机会较高的股票，知情机构的可预测性更为明显。按年计算，知情机构的表现比不知情的机构高出 2%，并且它们的绩效差距持续存在。重要的是，知情机构交易的回报可预测性并未包含在先前研究中记录的回报预测信号中，根据机构持股或财务报表计算。进一步的分析表明，知情的机构投资者从处理公司基本面和获取私人信息中获得了预测未来股票回报的卓越能力。本研究使用机构的主动交易行为得出了一种新颖的回报预测指标，并确定了知情交易者的各种信息来源。