Anna Scherbina Presentation

Cross-Firm Information Flows

Anna Scherbina (joint with Bernd Schlusche)

The Q Group Conference

April 1, 2015

Motivation

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Preview of the results

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Relevance to pracititoners

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Motivation

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Motivation

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Related literature

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Identifying information leaders for each stock

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Leadership summary

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Aggregating leader signals

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Example

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Timeline: portfolio formation

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Portfolio formation

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Equal-weighted portfolio returns

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Value-weighted portfolio returns

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Cumulative return: monthly portfolios

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Alternative specifications

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Other results

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Higher frequencies

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Weekly-frequency leaders, weekly portfolios (1980-2011)

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Cumulative return: weekly portfolios

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Conditioning on prior-week return, weekly portfolios

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Break-even trading costs for the weekly strategy

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Annual news counts, TRNA dataset, average over 1996-2011

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Explaining the number of followers (1997-2011)

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Do sophisticated investors trade on this strategy?

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Utilisation

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Do sophisticated investors trade on this strategy?

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Summary

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Possible extensions

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