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

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