We examine the trade response of individuals, institutional traders, and specialists to disclosures. We investigate reactions to good versus bad news and mandatory versus discretionary announcements. We find that individuals and institutions both have heightened trade activity before disclosures. Institutional trade runs counter to the price reaction to upcoming discretionary disclosures. Institutions' post‐announcement trade is consistent with the direction of the price reaction to the announcement, whereas individuals' post‐announcement trade runs counter to the price reaction. Although specialists face increased trade pressure both before and after announcements, strong directional imbalances in specialist trade are not observed. JEL classification: G14
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Welker et al. (2001) studied this question.
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