Microstructure-based private information and institutional return predictability

Puntos clave

• Predictability of institutional returns is influenced by microstructure-based information, showing a direct correlation.
• Analysis demonstrated that specific microstructure indicators could significantly enhance return forecasts in trading strategies.
• Observational analysis of market behavior and information flow patterns in financial markets was conducted to derive insights.
• Implications highlight the potential for improved decision-making in investment based on microstructure data.