Previous studies find mixed evidence on whether institutional investors exploit capital market anomalies. Examining a large sample of accounting-based anomalies, we find that institutions trade in the wrong direction of overreaction anomalies, but in the right direction of underreaction anomalies. These heterogenous trading patterns, rather than reflecting institutions' differential anomaly trading skills, can be simply explained by institutions’ tendency to trade in the same direction as the sentiment of news. Examining earnings news and a comprehensive sample of newswire releases, we find strong support for this explanation. Finally, institutional trading appears to exacerbate (mitigate) mispricing associated with overreaction (underreaction) anomalies.

中文翻译：

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机构交易、新闻和会计异常

此前的研究发现，关于机构投资者是否利用资本市场异常现象的证据不一。通过检查大量基于会计的异常样本，我们发现机构在过度反应异常的错误方向上进行交易，但在反应不足异常的正确方向上进行交易。这些异质的交易模式并不是反映机构差异化的异常交易技巧，而是可以简单地用机构倾向于与新闻情绪相同的方向进行交易来解释。通过检查收益新闻和新闻专线发布的综合样本，我们发现了对这一解释的强有力支持。最后，机构交易似乎加剧（减轻）了与过度反应（反应不足）异常相关的错误定价。