Anna Scherbina Presentation
Cross-Firm Information Flows
Anna Scherbina (joint with Bernd Schlusche)
The Q Group Conference
April 1, 2015
Motivation
Preview of the results
Relevance to pracititoners
Motivation
Motivation
Related literature
Identifying information leaders for each stock
Leadership summary
Aggregating leader signals
Example
Timeline: portfolio formation
Portfolio formation
Equal-weighted portfolio returns
Value-weighted portfolio returns
Cumulative return: monthly portfolios
Alternative specifications
Other results
Higher frequencies
Weekly-frequency leaders, weekly portfolios (1980-2011)
Cumulative return: weekly portfolios
Conditioning on prior-week return, weekly portfolios
Break-even trading costs for the weekly strategy
Annual news counts, TRNA dataset, average over 1996-2011
Explaining the number of followers (1997-2011)
Do sophisticated investors trade on this strategy?
Utilisation
Do sophisticated investors trade on this strategy?
Summary
Possible extensions
