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Investors Information Advantage and Order Choices in an Order-driven Market

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ABSTRACT
We set out in this study to examine investors information advantage and order choices by computing the gains and losses from the executed orders in a pure order-driven stock market, the Taiwan Stock Exchange. We carry out an event study on the profitability of each type of order around annual earnings announcements which exhibit significant abnormal price increases during the pre-event period. Our study uses a unique and extremely comprehensive dataset which can accurately classify executed orders by order size, order aggressiveness and the type of investors responsible for submitting the orders. We find that, as a group, individual investors are less informed about imminent corporate earnings announcements and the related value implications. Domestic institutions with better local connections have access to privileged information, resulting in significant trading profits in the pre-event window. Informed domestic institutions tend to employ large-sized orders to take up all of the available liquidity. Although limited in terms of private information, foreign institutions with superior expertise accrue profits by trading conservatively through the use of small- to medium-sized orders and less aggressive prices. Furthermore, informed domestic institutions are more likely to employ large-sized orders when trading in liquid stocks. They, however, tend to partially replace large-sized orders with medium- and small-sized orders to reduce market impacts when buy orders far exceeds sell orders.

Keywords:

Order choice; Stealth trading; Order aggressiveness; Informed trading; Trading profits. G1, G12, G14

JEL Classification:

1. INTRODUCTION
Investors order choices are the foundation of security market operation. They determine the interaction between liquidity supply and demand and, most importantly, the price formation process. The strategic behavior of investors order placement hence influences market dynamics, with a number of the prior studies having already documented the presence of non-monotonicity between trade size and price impact for both the stock and options markets.1 It is also noted that when determining their level of order aggressiveness, informed investors are essentially faced with a tradeoff between execution certainty and transaction costs. 2 Informed investors placing aggressive orders also run the risk of their superior information potentially being incorporated into the price prior to them acquiring their desired position. Motivated by the strategic behavior of investors order submission, the present study set out to examine the information advantage of each investor group, whilst also investigating the type of orders submitted by well-performed investors. We categorize executed orders by the order size, the aggressiveness of the orders and the investor group submitting the orders. As opposed to undertaking an analysis of tick price changes as in most of the stealth trading literature, we compute gains and losses for each type of executed order in order to examine stock selection ability and relative informativeness.3 We adopt a unique and remarkably comprehensive dataset which contains limit order book data linked to each trade in the transaction. We carry out an event study on the profitability of each type of order submitted in the Taiwan Stock Exchange
1

Examples include Chakravarty (2001), Chakravarty, Gulen and Mayhew (2004) and Anand and Chakravarty (2007). 2 See Harris (1998), Parlour (1998), Foucault (1999) and Kaniel and Liu (2006). 3 The term stealth trading is used to describe a strategy whereby informed investors break up their trades into smaller lots in order to disguise their activities and protect their information advantage. 2

(TWSE), one of the major emerging markets, around the time of annual earnings announcements made between 1 January 2005 and 31 December 2006. Since some traders may have possessed valuable private information in the pre-announcement period, there is a greater likelihood of such traders adopting an order placement strategy that would generate the greatest profits. In order to maximize the probability of detecting informed trading, our attention in the present study focuses on a sample of earnings announcements which display significant abnormal price increases in the pre-event period. As the private information soon gets incorporated into the prices, if the information happens to be important and unexpected, this will lead to large abnormal returns.4 In this particular setting, we presume that the different types of investors that participate during the period leading up to the earnings announcements are likely to be informed to varying degrees with respect to impending public announcements. The information possessed by the investors is most likely in the nature of a leak about an upcoming earnings number. The information advantage in this environment is likely to be short-lived. Consequently, informed investors may favor an aggressive trading strategy and put less consideration on potential price impacts. Informed investors may exhibit relatively less strategic trading behavior like stealth trading, proposed by Kyle (1985), Barclay and Warner (1993), and Chakravarty (2001). Information advantages can arise from differences in the availability of pre-disclosure information, the divergent costs of information acquisition and the distinct capabilities of various groups of investors with regard to information interpretation and return expectations. We distinguish skilled investors from informed
4

Although in theory, announcements which exhibit significant pre-event price reductions are also likely to involve informed trading, in practice, short-selling is more restrictive, such that trading in declining stocks by informed traders may be less active. 3

investors in this study. While informed investors have access to private information at lower costs, skilled investors are better capable of analyzing value-relevant public information, including technical and fundamental data. Investors with short-lived private information tend to trade aggressively. In contrast, skilled investors may adopt stealth trading strategies. Hakansson (1977) demonstrates that when investor groups differ, in term of their information acquisition ability and resources, distinct patterns of information acquisition emerge. The geographical information asymmetry hypothesis further suggests that domestic institutions with better local connections may be better informed regarding the information leaks about forthcoming earnings announcements [Brennan and Cao, 1997; Coval and Moskowitz, 1999; Hau, 2001; Dvok, 2005].5 Skilled foreign institutions, however, may have potential advantage due to their investment expertise and international experience [Grinblatt and Keloharju, 2000; Froot, OConnell and Seasholes, 2001].6 Given that the TWSE is a pure order-driven market, with no market makers or specialists, investors can only submit limit orders in this market. Whilst most markets, such as the NYSE and the Tokyo Stock Exchange, operate as a call auction market during the opening period, the TWSE, on the other hand, operates as a call auction market during the entire trading period. 7 As the market microstructure literature suggests that investors initiating trades tend to possess short-lived private information
5

The geographical information asymmetry hypothesis provides an important explanation for the existence of the home bias, which describes the stylized fact that investors overweigh the domestic stocks in their portfolios despite well-documented advantages of international diversification. The prior studies including Brennan and Cao (1997), Coval and Moskowitz (1999), Hau (2001), Dvok (2005) and Choe, Kho and Stulz (2005) find that domestic investors are better informed on local firm specifics. 6 Grinblatt and Keloharju (2000), Froot, OConnell and Seasholes (2001), Froot and Ramadorai (2001), Karolyi (2002) and Seasholes (2004), amongst others, suggest that foreign investors outperform domestic investors, essentially because they do a better job of analyzing market conditions and making optimal investment/trading decisions. 7 Other markets such as the Euronext, the Mexican Intermediate Market and the Bursa Malaysia Stock Exchange also permanently operate as call auction markets. 4

and are therefore willing to pay a premium to get their orders executed quickly, the same logic cannot be applied to a call auction market, where buy and sell orders are accumulated over a certain period of time prior to the market clearing, at which point, everyone pays or receives the same price, regardless of their quotes. No one actually initiates a trade under a call auction market. Thus, as opposed to the approach taken in several of the prior studies, where the computation of the weighted cumulative price impact critically hinges on the initiator of a trade,8 in the present study, we calculate the daily trading profits earned by each order category, which thereby provides precise accounting of the gains and losses from trades. As in Barber, Lee, Liu and Odean (2009), we construct portfolios which mimic the buying and selling in each order category, with the order category being more informative if stock purchases reliably outperform stocks sold. In contrast to most prior studies which rely on either quarterly holdings data or publicly reported returns data, we utilize the comprehensive dataset to analyze the complete trades and exact timing of all trades by order category. We compute the daily dollar profits, net of market gains, for each order category during the non-event, pre-event and post-event windows, and then examine which type of orders produce significant gains (losses), and which are therefore considered to be more (less) informative. The profits for each investor group are further broken down into the types of orders submitted; thus, by tracing the profits with regard to the size and aggressiveness of the orders, we can investigate the order submission strategies of well-performed traders in each investor group. The present study contributes to the related literature from several aspects. Firstly, although it is extremely difficult in practice to identify which market participants are
8

Examples of which are provided by Barclay and Warner (1993), Chakravarty (2001) and Huang (2002). 5

informed, many of the prior studies have provided ample evidence to show that institutional investors have information advantages, insofar as their trading predicts future abnormal returns.9 However, empirical findings on the relative performance of foreign and domestic institutions are rather mixed. While foreign institutions have potential advantages based upon their superior investment experience and analytical expertise, domestic institutions are less subject to issues such as distance, linguistic or cultural barriers. We distinguish skilled investors from informed investors and measure the trading profitability of each investor group to enhance our understanding of the differential information advantages between individual and institutional investors, and between domestic and foreign institutions. Secondly, while prior studies have examined informed investors order choices in quote-driven and hybrid limit order-specialist markets, the size and aggressiveness of orders chosen by informed traders in an order-driven structure, such as the TWSE, remains unclear. Within an order driven market, liquidity is provided by limit orders; thus, in terms of execution, the speed of electronic order submission and execution essentially makes multiple small orders equivalent to one large order. 10 Whilst Campbell et al. (2004) argue that informed investors may well use small orders in preference to larger orders in a limit order market, Ascioglu et al. (2005) suggest that informed investors prefer to use larger orders in order to take up all of the available liquidity so as to ensure their trading profits. In the present study, we highlight the

For example, Lakonishok, Shleifer and Vishny (1992), Carhart (1997), Ikenberry, Shockley and Womack (1998), Brown, Goetzmann and Ibbotson (1999), Liang (1999), Wermers (2000), Chan, Jegadeesh and Wermers (2000), Coval and Moskowitz (2001), Ferson and Khang (2002), Ke and Petroni (2004), Ali, Durtschi, Lev and Trombley (2004), Amihud and Li (2006), and Baker, Litov, Wachter and Wurgler (2009) all provide evidence of superior information amongst institutional investors. On the other hand, Ivkovich and Weisbenner (2004), Coval, Hirshleifer and Shumway (2005), and Ivkovich, Sialm and Weisbenner (2008) show that some individual investors systematically perform well. 10 Campbell et al. (2004) argue that in a limit order market, informed investors may well use small orders in preference to larger orders. 6

implications of the preferences of informed investors by examining the gains and losses of orders with different sizes and aggressiveness. Thirdly, most prior studies use trade size as a proxy for order size, which places an important limitation on their ability to examine investors trading behavior due to the possibility that the true trade size choice of investors is not reflected in the realized trade size. Furthermore, in an order-driven market, discrepancies between the submitted order prices and the realized trade prices can be problematic if the trade prices are used to measure order aggressiveness. In the present study, the comprehensiveness of our dataset, which contains limit order book data linked to each trade in the transaction, allows us to accurately classify the underlying trades into the appropriate order categories. In our analysis of the informativeness of orders, by avoiding making any particular assumptions such as a high correlation between larger/smaller trades and larger/smaller orders, or that submitted order prices will be identical to realized trade prices we provide a more appropriate measure of the order submission strategies of well-performed investors. Our results suggest that for all holding periods, on the whole, large-sized orders ahead of official earnings announcements reliably make profits. Whilst many of the prior studies find that informed investors tend to use medium-sized orders in a quote-driven or hybrid limit order-specialist market, we demonstrate that informed investors prefer to use large orders so as to take up all of the available liquidity in a pure order-driven market. Moreover, although Kaniel and Liu (2006) suggest that investors with longer-lived information advantage prefer limit orders to reduce the level of price risk, information advantage in our setting is likely to be short-lived and may drive informed investors to trade aggressively.11 We show that aggressive orders
11

Many of the prior studies analyze order aggressiveness in dynamic environments, along with the impact 7

overall make significant profits for all holding periods in the pre-event window, indicating that informed investors prefer to trade actively with competitive prices to ensure the execution of their orders. Without presuming a particular group of investors has some specific information advantages, we measure the informativeness of investor groups based upon their net daily dollar profits. We find that individual investors, as a group, are less informed on upcoming corporate earnings and related value implications, whilst geographical proximity, consistent with Lee, Liu, Roll and Subrahmanyam (2004), represents an important source of information advantage for institutional investors. In contrast to Barber et al. (2009), which find that foreign institutions is the most profitable group in the TWSE during the whole 1995-1999 period, we focus on the profitability in the pre-announcement window during the 2005-2006 period and document superior performance of domestic institutions. Given their better local connections, domestic institutions usually acquire news leaks prior to official announcements, thereby placing foreign institutions at a distinct disadvantage. The profitability of informed trading is reduced in post-announcement periods, which suggests a general reduction in information asymmetry after official earnings announcements. Large-sized orders and aggressive orders yield positive but less significant returns during such periods. Domestic institutions are not found to perform as well as in the pre-announcement period, whereas in contrast, foreign institutions, with their superior expertise in analyzing the value implications of earnings, are found to perform better in the post-announcement period. Informed trading is limited in
on equilibrium quotes and the bid-ask spread (for example, Foucault, Kadan and Kandel, 2005; Rosu, 2006; Wei, 2006; Goettler, Parlour and Rajan, 2008). Competition for price priority favors the arrival of limit orders within the best quotes (Bisiere and Kamionka, 2000), whilst wider spreads and more depth on the same side lead to more aggressive orders (Biais, Hillion and Spatt, 1995; Griffiths, Smith, Turnbull and White, 2000; Ranaldo, 2004, Beber and Caglio, 2005), and increased transitory volatility also induces greater order aggressiveness (Ahn, Bae and Chan, 2000; Ranaldo, 2004; Gava and Ubierna, 2007). 8

non-event periods, with the profitability of orders of different size and aggressiveness tending to vary with the length of the holding period. Institutional investors do not outperform individual investors in regular periods, as individual investors can also make profits when 10- and 30-day holding periods are considered. Not all domestic institutions are equally informed, nor do they have information advantage at all time for all stocks. Consistent with Ascioglu et al. (2005), informed domestic institutions tend to submit large-sized orders during a pre-announcement period to take up all of the available liquidity and thereby ensure their trading profits, given that the private information acquired by domestic institutions is likely to be short-lived due to upcoming official announcements and intensive informed trading. Although limited in terms of private information, given their superior expertise, skilled foreign institutions can accrue profits by trading conservatively with medium- and small-sized orders and less aggressive prices. Individual investors are generally found to be the losers; and indeed, those using small-sized orders or passive prices tend to be the most vulnerable. The documented superior performance of domestic institutions results mainly from private information, not institutional trend chasing, as domestic institutions, especially those use large-sized orders, lose their advantage in the comparable non-event price run-ups. In contrast, individual investors and foreign institutions perform as well, if not better, in the non-event price run-ups. Foreign institutions placing medium- and small-sized orders are more likely to be skilled than informed as their advantage is consistent in the pre-event periods and non-event price run-ups. Finally, the profits earned by domestic and foreign institutions in the pre-event periods are attributable to trading in stocks with high trading volume, as those stocks are usually large firms with lower transaction costs and more pre-event information.
9

Informed domestic institutions are more likely to employ large-sized orders when trading in liquid stocks. Whilst institutions have a clear preference for liquid stocks, individual investors have a comparative advantage with regard to trading in illiquid stocks. Moreover, although order imbalance does not notably affect order choices of foreign institutions and individual investors, informed domestic institutions tend to partially replace large-sized orders with medium- and small-sized orders to reduce market impacts when buy orders far exceeds sell orders. The remainder of this paper is organized as follows. Section 2 provides a description of the institutional background of the Taiwan stock market and details of the data and variables adopted for this study. The empirical findings on trading profits for each order category and the order choices of informed investors are presented in Section 3. Section 4 verifies the robustness of the empirical results by examining large non-event price run-ups and analyzing the effects of trading volume and order imbalance on trading profitability. Finally, the conclusions drawn from this study are presented in Section 5.

2. INSTITUTIONAL BACKGROUND, DATA AND METHODOLOGY

2.1 Institutional Background
The Taiwan Stock Exchange (TWSE), which was established in 1961, had achieved a market value of NT$15.63 trillion (approximately US$474 billion) by 2005, with this figure rising to NT$19.38 trillion (approximately US$587 billion) by 2006. The total number of listed companies on the TWSE was 691 at the end of 2005, and 688 at the end of 2006. The average daily trading volume amounted to approximately 2.69 billion shares or NT$76.19 billion (approximately US$2.31 billion) in 2005, rising to 2.95 billion shares or NT$96.37 billion (approximately US$2.92 billion) by 2006,
10

which clearly makes the TWSE one of the most important emerging financial markets. The TWSE operates in a limit-order book environment, which means that only limit orders are accepted, with this environment having no market makers or specialists. Orders begin to accumulate from 8:30 a.m. onwards, and unless cancelled, any non-executed orders will remain on the limit order book until the end of the day. During the regular trading session, from 9:00 a.m. to 1:30 p.m., buy and sell orders interact in the central automated trading system to determine a single market-clearing price subject to applicable auto-matching rules aimed at maximizing transaction volume for each match. Orders are executed in strict price and time priority, and are matched two to three times per minute throughout the regular trading session. The actual time interval for each round of clearing may vary slightly according to trading intensity. Although market orders are not permitted, traders can submit an aggressive limit order with a price limit equal to, or better than, the market price in order to obtain matching priority, and since there are no official market makers, the bid and ask quotations represent the best prices in the limit order book that are provided by the various traders. The level of transparency on the TWSE is extremely high, since all investors are able to observe the volume of orders at each price tick, up to the five best bid and ask prices. In order to avoid excessive volatility and to protect investors by limiting their potential daily losses, the TWSE imposes a daily price change limit of 7 per cent in both directions, based upon the closing price of the previous day, as well as a trade-by-trade intraday price change limit of two ticks from the previous trade price. The TWSE price limits are boundaries, as opposed to triggers for trading halts, since
11

those stocks that hit their price limits can still be traded as long as the transaction prices remain within the limits. Taiwan imposes a transaction tax of 0.3 per cent on stock sales and no tax on capital gains (both realized and unrealized). Cash dividends are taxed at a maximum rate of 25 per cent for domestic corporations and 40 per cent for individuals; for foreign investors, they are taxed at 20 per cent. The maximum commission for trading on the TWSE is 0.1425 per cent of the trade value, with some brokers offering a lower commission for larger trades.

2.2 Data
The complete transaction and limit order history of all traders on the TWSE between 1 January 2005 and 31 December 2006 is acquired for this study. Both the trade and order data include the date and time of the transaction/order, a stock identifier, order type (buy or sell), transaction price/order price limit, number of shares, the identity of the trader, and the code facilitating the link between transaction and limit orders. Furthermore, the codes for changes in orders as well as changes in the number of shares are also included within the order data. We categorize the trader types into three groups, individuals, domestic institutions and foreign institutions. Individual investors not only account for the majority of investors, but also for more than 60 per cent of all trading value. Domestic institutions include Taiwanese corporations, financial institutions, mutual funds and government-owned firms. Foreign institutions are primarily foreign banks, insurance companies, securities firms and mutual funds. Earnings announcements provide market participants with one source of public information based upon which they can evaluate the performance of a firm. We
12

collected all of the annual earnings announcements available from the Taiwan Economic Journal (TEJ) databank for the years 2005 and 2006, providing a total of 802 annual earnings announcements from firms listed on the TWSE. In Taiwan, annual earnings announcements are a regular occurrence; indeed, they are mandated, which ensures that any market surprise as a result of an announcement is due to the information provided within the announcement, as opposed to the simple fact that an announcement has taken place. The information provided by such announcements can significantly alter the beliefs of investors with regard to the value of a firm, thereby becoming incorporated into the stock price through trading. In order to maximize the probability of the detection of informed trading, we carry out sample partitioning similar to that used in Chakravarty (2001), restricting our attention to only those earnings announcements where significant abnormal price increases were discernible in the pre-event period.12 Valuable private information may be available to some traders during the pre-event period, such that they will invariably adopt an order-submission strategy with a greater likelihood of generating the highest profits. We suggest that the sample of earnings announcements with significant abnormal price increases in the pre-announcement period provides an appropriate environment for testing the stealth trading hypothesis. Although in theory, those announcements exhibiting significant pre-event price falls are also likely to involve informed trading, in reality, since short-selling is more restrictive, informed trading in declining stocks may be less active. Let t be the index of time, where t = 0 represents the announcement date. The
12

Including all the 802 events in the study reduces the significance of the results; it, however, does not 13

change the main conclusions in this paper.

event window is defined as: (i) the pre-event period, which is 20 trading days before the earnings announcement (t = 20 to t = 1); and (ii) the post-event period, which is 20 trading days after the earnings announcement (t = 0 to t = 19).13 The non-event period is therefore the sample period which excludes the event window. The earnings announcements are divided into five groups according to their cumulative abnormal returns (CARs) in the pre-event period. The descriptive statistics for the five groups are provided in Table 1. <Table 1 is inserted about here> The average CAR for the top group is 16.55 per cent (7.25 per cent) in the pre-event (post-event) period, whilst the average CAR for the bottom group is 13.91 per cent (3.09 per cent) in the pre-event (post-event) period. The finding of persistent abnormal returns in the period after earnings announcements suggests that such announcements provide valuable information which is gradually reflected in the prices. Our sample is constructed by combining the top two groups with the greatest positive CARs, which results in a total of 321 annual earnings announcements. The average CARs of this sample, from 140 days before to 20 days after the annual earnings announcements, are illustrated in Figure 1, from which we can see that the average CAR in the [140, 21] period is 7.37 per cent, thereby indicating that no material information was released prior to our selected event window. In contrast, the average CAR across all 321 announcements during the [20, 19] event window is found to be 14.96 per cent. Approximately 66 per cent of the event-window CARs

13

We explore alternative event windows; for example, we define the pre-event period as 10 and 30

trading days before the announcement and post-event period as 10 and 30 trading days after. Alternative definition of event windows does not change the main conclusions in this paper. 14

associated with the 321 announcements are found to have occurred prior to the official public announcement day; in particular, the average CAR in the [20, 1] pre-event period is found to be 9.89 per cent. <Figure 1 is inserted about here>

2.3 Variables
The daily returns of an individual stock j are calculated as Equation (1).
R j ,t ln( Pj ,t ) ln( Pj ,t 1 )

(1)

where Pj,t is the closing price for stock j on day t. The same method is applied in computing the returns of the market index (Rm,t). The abnormal returns are estimated based on the market model as outlined by MacKinlay (1997), with parameters estimated from the estimation period.

AR j ,t R j ,t ( j j Rm ,t )

(2)

To correct the problem of error-in-variable from non-synchronous trading, we adopt the methodology introduced in Scholes and Williams (1977) to reduce the bias that arises in estimating beta using the daily return series.
j 1 T 1 1 T 1 R j t j T 2 Rm t T 2 t 2 t 2

(3)

bj bj bj j 1 2 m

(4)

where b j

cov( R j t , Rm t 1 ) var( Rm t 1 )

, bj

cov( R j t , Rm t ) var( Rm t )

, b j

cov( R j t , Rm t 1 ) var( Rm t 1 )

, and

cov( Rm t , Rm t 1 ) std ( Rm t ) std ( Rm t 1 )

with cov( ) represents the covariance, var( ) represents

15

the variance and std( ) represents the standard deviation. The cumulative abnormal returns (CARs) are computed by aggregating abnormal returns over the event window t = T1 to t = T2 for each announcement of stock j,
CAR j ( T1 , T2 ) AR j t
t T1 t T2

(5)

Using the complete dataset of orders and trades, we trace all trades back to their underlying orders and determine the order category of the executed orders according to the characteristics of the original order submission. 14 Consistent with Barclay and Warner (1993) and taking into account of 1,000 shares as the trading unit of stocks in the TWSE, we define small-sized orders as those involving 1,000-4,000 shares; medium-sized orders as those involving 5,000-99,000 shares; and large-sized orders as those involving 100,000 shares or more.15 Since all orders on the TWSE are limit orders, we define aggressive orders as buy limit orders with prices that are equal to, or higher than, the last market clearing price, and sell limit orders with prices that are equal to, or lower than, the last market clearing price; passive orders are defined as buy (sell) limit orders with prices that are lower (higher) than the last market clearing price. The underlying trades of all fully and partially executed orders are categorized by their original order size, order aggressiveness and type of investors. Details on the number of executed orders, as well as the share of the executed orders in each order category during the pre-event, post-event and non-event periods are presented in Table 2.
14

Although we omit a small proportion of trades which cannot be directly linked to their underlying orders; such omission should not introduce any bias into our results. 15 Barclay and Warner (1993) define small-sized orders as those of 100-499 shares; medium-sized orders as those of 500-9,999 shares; and large-sized orders as those of 10,000 shares or greater. We explore alternative definitions of order sizes; for example, we make small-sized orders as those involving 1,000-9,000 shares; medium-sized orders as those involving 10,000-149,000 shares; and large-sized orders as those involving 150,000 shares or more. Alternative sets of size definitions do not change the main conclusions in this paper. 16

<Table 2 is inserted about here> Although large-sized orders account for only about 25 per cent of transactions, they nevertheless account for approximately 80 per cent of all trading volume, of which, 80 per cent of trades are found to be aggressive orders. Approximately 90 per cent of all transactions and 70 per cent of all trading volume is attributable to individual investors, whilst institutional investors are found to be more active in the pre-event period than in the post-event period. We adopt similar steps to those proposed in Barber et al. (2009) to compute the daily dollar profits for each order category, as follows: 1. For each day, we sum up all of the executed orders for each stock in a particular order category to determine net trading in that order category. 2. For each stock and order category, we construct a buy portfolio which mimics net daily purchases, and a sell portfolio which mimics net daily sales. The daily net trade of the order category is recorded to either of the portfolios for each stock. 3. The daily purchase/sale price is computed as the net daily purchase/sale value divided by the net daily purchase/sale shares. The net purchase/sale value is calculated as the total value of purchases/sales minus the total value of sales/purchases on that day. 4. The daily abnormal return for the portfolios is the difference between the return on the stock and the return on the overall market. 5. Shares remain in the portfolio for a fixed horizon, with holding periods of 1, 10, and 30 trading days being examined.
17

6.

The daily dollar return for a portfolio (net of market gains) is therefore computed by taking the total value of the portfolio from the previous close and multiplying this by the daily abnormal return.

7.

The daily dollar profit for a particular order category is the difference between the daily dollar return on the buy portfolio and the daily dollar return on the sell portfolio for that order category.

For each stock, we obtain a time series of daily dollar profits (net of market gains) for each order category during both the non-event period and the event window for those earnings announcements which display significant abnormal price increases prior to the announcement day. It is assumed that each daily profit represents an independent observation of the profits earned by a particular order category (Barber et al., 2009).16 The dollar profits provide a precise measure for the stock selection ability of informed institutions and individuals; by calculating trading profits net of any market return, we can exclude profits from market timing. We then compute the average daily profits for each order category during both the announcement and non-event windows. We set out to determine whether a certain order category can consistently generate greater profits than other categories, and whether the profits thus generated are abnormally high during the event period. The order category with the greater profits is regarded as being better informed.

3. EMPIRICAL RESULTS
3.1 Mean Daily Dollar Profit for Different Order Categories
We begin our analysis by examining the mean daily dollar profit for each order
16

We can find no significant serial dependence of daily profits for the 1-, 10- and 30-day horizons. 18

category during the pre-event, post-event and non-event periods. The daily dollar profits provide precise accounting of the trading gains and losses between groups and are precisely equal to zero when summed across groups under each categorization. We compute the mean daily profit by averaging the daily profits across stocks and days for each order category, and then apply the Hausman test to determine the appropriate panel models, testing the null hypothesis that the mean will be equal to zero; the results are presented in Table 3. <Table 3 is inserted about here> Panel A of Table 3 reveals that in the pre-event window, large-sized orders consistently result in profits for all holding periods, with the mean profits being statistically significant. Under the assumption of a one-day holding period, large-sized orders accrue an average daily profit of NT$14 million, although when considering a 30-day holding period, the average profit falls to NT$1.5 million. In contrast to the stealth trading hypothesis, which contends that medium-sized orders are the most informative, the results in Panel A reveal that medium-sized and small-sized orders incur losses for all holding periods. The results presented in Panel A of Table 3 also reveal that aggressive orders are more informative and result in significant profits for all holding periods, from an average daily profit of NT$71.1 million for a one-day horizon, to an average daily profit of NT$4.1 million for a 30-day horizon. Those investors placing passive orders appear to be the main providers of liquidity; these investors are at their most vulnerable during those periods when market participants with demand for liquidity have superior information on the future prospects of certain stocks. Panel A of Table 3 further indicates that during the pre-event window, domestic
19

institutions accrue significant profits for all holding periods, with the mean daily profits being NT$10.3 million for a one-day holding period, NT$2.6 million for a 10-day holding period, and NT$4.6 million for a 30-day holding period. Foreign institutions perform well over a one-day horizon, although they tend to make losses over longer horizons of 10 and 30 trading days. Despite the suggestion in the prior studies that institutional investors have privileged information on earnings, foreign institutions are not well informed regarding upcoming earnings numbers.17 Panel A indicates that relative to foreign institutions, domestic institutions are better informed with regard to optimistic earnings forecasts, and therefore make significant profits from trading. In contrast to Barber et al. (2009), in which it is suggested that foreign institutions are, in general, the most profitable group of institutional investors in Taiwan, the present study demonstrates that geographical proximity is an important source of informational advantage on firm-specific news, and that domestic institutions are more capable of acquiring and using leaks about impending corporate earnings. Conversely, individual investors incur mean daily losses of NT$14.5 million over a one-day holding period, NT$1.1 million over a 10-day holding period, and NT$1.6 million over a 30-day holding period, with these mean losses being found to have statistical significance. Although stocks bought by individual investors do tend to make money, stocks sold by them are found to perform even better in the pre-event period, thereby resulting in trading losses for individual investors who, as a group, are not as well informed as institutional investors. Panel B of Table 3 reveals that in the post-announcement period, despite still

17

Examples include Badrinath, Kale and Noe (1995), Sias and Starks (1997), Bartov, Radhakrishnan and Krinsky (2000), Ke and Ramalingegowda (2005) and Campbell, Ramadorai and Schwartz (2009). 20

being positive, the profits generated by large-sized orders nevertheless become statistically insignificant. Similarly, when considering one-day and ten-day holding periods, aggressive orders lead to profits that are both smaller in size and less significant, as compared to those in the pre-announcement period. Panel B of Table 3 also indicates that individual investors continue to make losses in the post-announcement period, whilst domestic institutions do not perform as well as in the pre-announcement period when one-day and 10-day holding periods are considered; thus, there is a significant decline in the importance of local private information after official announcements. Conversely, foreign institutions accrue mean daily profits of NT$21.3 million over a one-day horizon, significantly better than the NT$4.2 million in the pre-event window. Whilst domestic institutions are better informed with regard to optimistic earnings forecasts in the pre-announcement period, foreign institutions are good at processing earnings-related information and analyzing the value implications and thus perform better in the post-announcement period. Panel C of Table 3 reveals that informed investors are not always the source of large-sized orders and aggressive orders, and that such orders can make losses during non-event periods. Large-sized orders incur mean daily losses of about NT$0.4 million over a 10-day horizon, and NT$1.0 million over a 30-day horizon, whilst medium- and small-sized orders accrue positive returns over both the 10- and 30-day horizons. Aggressive orders incur mean daily losses of NT$1.7 million over a 10-day horizon and NT$5.6 million over a 30-day horizon, whilst passive orders are more profitable when informed trading is restricted. We find that both domestic and foreign institutions do not perform as well in regular trading periods as they do during the event window. It is often argued in many of the prior studies that individual investors generally
21

make poor investment decisions, which thereby gives rise to market inefficiency;18 however, Panel C of Table 3 demonstrates that although they do tend to make losses over a one-day holding period, individual investors can succeed in making profits over longer horizons during non-event periods. When including material earnings announcement event windows, Barber et al. (2009) report that individual investors incur mean daily losses of about NT$59.4 million over a 10-day horizon, and NT$74.0 million over a 25-day horizon. However, in the present study, we show that the information disadvantage for individual investors occurs mainly during important events, such as earnings announcements. By excluding performance during material earnings announcement event windows, we find that individual investors accrue mean daily profits of about NT$1.3 million over a 10-day horizon, and NT$1.7 million over a 30-day horizon. Overall, the profitability of informed trading is found to have the greatest significance in pre-announcement periods. Domestic institutions have privileged information on earnings in advance of formal announcements, and therefore perform well in a pre-event window. Dvok (2005) suggests that whilst domestic investors have short-lived information advantage, foreign investors are better at picking longterm winners. Consistent with Dvok (2005), we find that the strong performance of domestic institutions is weakened in both post-event and non-event windows. Conversely, our results indicate that foreign institutions with global expertise and a propensity for momentum trading tend to perform better in post-event periods. Moreover, we find that informed investors tend to use large-sized orders and aggressive orders in order to take advantage of their superior information during

18

See for example Lee, Shleifer and Thaler (1991), Barber and Odean (2000), Grinblatt and Keloharju (2000) and Barber, Lee, Liu and Odean (2009). 22

pre-announcement periods. However, the informativeness of large-sized orders and aggressive orders is diminished in both the post-event and non-event windows. Since information asymmetry is most severe during a pre-announcement period, we place specific focus on this pre-event window, a period when informed trading activities are most likely to occur.

3.2 The Order Choice of Investors

We go on to examine the mean daily profit for each investor group for various order choices with regard to size and aggressiveness during the pre-event period. We decompose the total profits for each investor group from Table 3, by order size and order aggressiveness, with appropriate panel models then being used to test the null hypothesis that the mean dollar profit is equal to zero. The results are presented in Table 4, with Panel A showing that individual investors who use small-sized or passive orders are the most uninformed. Individual investors placing small-sized (passive) orders lose an average of NT$6.4 million (NT$7.1 million) per day over a one-day horizon, NT$0.9 million (NT$1.4 million) per day over a 10-day horizon, and NT$1.3 million (NT$2.5 million) per day over a 30-day horizon. <Table 4 is inserted about here> Panel B of Table 4 reveals that informed domestic institutions tend to place large-sized orders so as to make the most of their superior information relating to earnings. Domestic institutions placing large-sized orders earn, on average, NT$9.7 million per day over a one-day horizon, NT$2.7 million per day over a 10-day horizon and NT$5.8 million per day over a 30-day horizon. Domestic institutions placing medium- and small-sized orders do not make reliable profits; indeed, when assuming 10-day and 30-day holding periods, they are generally
23

found to incur losses. Both passive and aggressive orders placed by domestic institutions tend to be profitable, with the former demonstrating better short-run profitability, whilst the latter tend to make reliable returns over longer horizons. The method by which new earnings information reaches the market in Taiwan may place individual investors and foreign institutions at a disadvantage. Domestic institutions with better local connections and relatively lower marginal costs for their information acquisition usually acquire news leaks ahead of official announcements, thereby benefiting from information asymmetry. Such private information is, however, likely to be short-lived, as informed trading leads to the information being incorporated into prices. Domestic institutions submit large orders so as to take up all of the available liquidity and accrue the maximum profit from their information advantage. Whilst foreign institutions are not informed about the impending earnings numbers, they have better analytical and trading skills. Panel C of Table 4 shows that skilled foreign institutions tend to use medium- and small-sized orders as opposed to large-sized orders. Foreign institutions submitting medium-sized orders earn an average of about NT$2.3 million per day over a one-day horizon, NT$0.1 million per day over a 10-day horizon, and NT$0.6 million per day over a 30-day horizon, with small-sized orders returning similar profits. In contrast, foreign institutions placing large-sized orders tend to incur losses which increase with the length of the holding period. Such orders incur average losses of NT$ 0.6 million per day over a one-day horizon, NT$1.7 million per day over a 10-day horizon, and NT$4.1 million per day over a 30-day horizon. It is clear that skilled foreign institutions prefer to use passive orders. Although aggressive orders placed by foreign institutions incur average daily losses of about NT$1.6 million over a 10-day horizon and NT$3.6 million over a 30-day horizon, their
24

passive orders consistently make profits for all holding periods, from average daily profits of NT$1.4 million over a one-day horizon to NT$0.6 over a 30-day horizon. Although foreign institutions may lose out to domestic institutions in acquiring private information on earnings, they nevertheless have considerable investment experience and better international expertise. Skilled foreign institutions with limited private information can make profits by trading conservatively with small- and medium-sized orders and less aggressive prices. Foreign institutions which place too much faith in the private information they possess, and consequently trade with large orders and aggressive prices, tend to incur losses from trading. Such losses by these foreign institutions may also come from overreaction to earnings-related signals. In the presence of local private information, even in cases where all investors have rational expectations (Froot et al., 2001; Albuquerque et al., 2007), less informed foreign institutions tend to react more strongly to public signals than better informed domestic institutions.

4. ROBUSTNESS ANALYSES
4.1 Non-Event Price Run-Ups
Griffin, Harris, and Topaloglu (2003) and Sias (2004) suggest that positive relation between institutional trading and stock return can be attributed to either information advantage or institutional trend chasing. As we show that domestic institutions which place large-sized orders make significant abnormal profits, a natural question is whether the kind of trades that are being studied are in fact representative of trend chasing behavior rather than information driven transaction. We compute the non-overlapping 20-day period returns for all stocks, excluding those coinciding pre- and post-event windows of earnings announcements. We rank
25

the 20-day periods by their cumulative returns and select the top ten percent periods as the sample of large non-event price run-ups. The sample consists of 1,184 20-day periods of non-event price run-ups, with the average 20-day cumulative return equal to 16.66%. The average cumulative return in the pre-event periods is 14.36%, similar to that in the large non-event price run-ups. Table 5 reports the differential profitability of order submission decisions with respect to size and aggressiveness in the pre-event periods and the large non-event price run-ups. The information disadvantage for individual investors is more severe in the pre-event periods than in the large non-event price run-ups. As Panel A of Table 4 shows that individual investors who use small-sized or passive orders are the most uninformed, Table 5 suggests that, except for the one-day holding period, individual investors placing small-sized or passive orders suffer significantly greater losses in the periods of large price increases triggered by valuable earnings information. <Table 5 is inserted about here> Table 5 suggests that domestic institutions do not perform well in the non-event price run-ups. The superior performance of domestic institutions in the pre-event periods is most likely driven by the privileged information regarding imminent earnings announcements. As Panel B of Table 4 reveals that domestic institutions that place large-sized orders are the most informed, Table 5 illustrates that domestic institutions placing large-sized orders do not earn significant profits in the non-event price run-ups. The superior performance of informed domestic institutions in the pre-event periods diminishes in the non-event price run-ups. In the pre-announcement periods, domestic institutions that employ large-sized orders make, on average, NT$6.2 million more per day over a one-day horizon, NT$2.7 million more per day over a 10-day horizon and NT$6.1 million more per day over a 30-day horizon.
26

Except for the one-day holding period, domestic institutions that use aggressive orders also make significant greater profits in the pre-event periods than in the non-event price run-ups. Foreign institutions are more likely to be skilled than informed. The good performance of foreign institutions in the per-event periods is mainly driven by their expertise and trend chasing tendency, which is not much different in the non-event price run-ups. As Panel C of Table 4 shows that skilled foreign institutions tend to use medium- and small-sized orders, Table 5 demonstrates that foreign institutions placing medium- and small-sized orders perform as well, if not better, in the non-event price run-ups. Panel C of Table 4 also suggests that skilled foreign institutions prefer to use passive orders. Without information disadvantage regarding impending earnings news, foreign institutions placing passive orders make better profits in the non-event price run-ups than in the pre-announcement periods. In the non-event price run-ups, foreign institutions that employ passive orders earn, on average, NT$5.4 million more per day over a one-day horizon, NT$0.3 million more per day over a 10-day horizon and NT$1.6 million more per day over a 30-day horizon.

4.2 Trading Volume and Order Imbalance

As the short-lived information advantage encourages informed domestic institutions to trade aggressively with large-sized orders in an order-driven market environment, the prevailing market conditions in terms of available liquidity or lack thereof may also affect investors order choices. For example, informed investors may strategically employ less aggressive orders to reduce their market impacts in an illiquid market condition. We adopt two measures of market liquidity, trading volume and order imbalance.
27

The trading volume is defined as the daily average number of shares traded in the pre-announcement window. The order imbalance is defined as the average of the daily order imbalance in the pre-announcement window; the daily order imbalance is calculated as the number of buy orders less the number of sell orders divided by the total number of orders. All of the events are divided equally into high and low groups on the basis of trading volume and order imbalance. Table 6 reports the trading profits of each order category and the profit differences between high and low groups. <Table 6 is inserted about here> Panel A of Table 6 shows that the profits earned by domestic institutions in the pre-event periods stem mainly from trading in stocks with high trading volume. Given that stocks with high trading volume are usually large-sized stocks, it is not surprising that domestic institutions are better motivated to acquire and trade on pre-event information relating to those stocks since those stocks are subject to lower transaction costs and more closely monitored by outsiders (Maug, 1998). Large-sized firms also typically release more information prior to their earnings announcements. 19 An information-rich environment appears to attract domestic institutions, essentially due to the lower costs of information acquisition in the pre-disclosure period. Foreign institutions have a preference for stocks with high trading volume as well and trade restrictively in stocks with low trading volume. In contrast, individual investors have a comparative advantage when trading in stocks with low trading volume. Uninformed individual investors placing medium- to small-sized or passive orders incur greater losses when trading in stocks with high trading volume. For example, Panel A of Table 6 indicates that individual investors employing passive orders lose NT$12.2 million more per day over a one-day horizon, NT$3.6 million
19

See Atiase (1985), Bamber (1986) and Atiase and Bamber (1994). 28

more per day over a 10-day horizon and NT$5.3 million more per day over a 30-day horizon when trading in liquid stocks as compared to their trading in illiquid stocks. Large-sized orders generally cause greater market impacts which may hinder trading performance of informed investors. Such market impacts tend to be moderate for stocks with high trading volume; hence, informed investors are more likely to adopt large-sized orders when trading in liquid stocks. While Panel B of Table 4 suggests that informed domestic institutions tend to use large-sized orders, Panel A of Table 6 further illustrates that these orders are only profitable when trading in stocks with high trading volume. That is, domestic institutions tend to acquire privileged earnings-related information of liquid stocks and employ large-sized orders to maximize their trading profits in those liquid stocks. Informed domestic institutions placing large-sized orders earn NT$18.9 million more per day over a one-day horizon, NT$5.9 million more per day over a 10-day horizon and NT$12.7 million more per day over a 30-day horizon when trading in liquid stocks as compared to their trading in illiquid stocks. As Panel C of Table 4 shows that skilled foreign institutions tend to use mediumand small-sized orders, Panel A of Table 6 suggests that the profits of their mediumand small-sized orders are attributable to trading in stocks with high trading volume due to their preference for liquid stocks. For example, skilled foreign institutions employing medium-sized orders earn NT$4.6 million more per day over a one-day horizon, NT$0.3 million more per day over a 10-day horizon and NT$1.1 million more per day over a 30-day horizon when trading in liquid stocks as compared to their trading in illiquid stocks. Panel B of Table 6 demonstrates that the profitability of informed domestic institutions drops significantly when buy orders far exceeds sell orders. The market
29

impacts are greater in the case of large order imbalance; thus, informed investors may have difficulty to accumulate desired position before their private information is fully incorporated into stock prices. Informed domestic institutions make NT$8.8 million less per day over a one-day horizon, NT$1.1 million less per day over a 10-day horizon and NT$4.5 million less per day over a 30-day horizon in the situation where sell orders are outnumbered by buy orders. Informed domestic institutions seem to partially replace large-sized orders with medium- and small-sized orders in the case of large order imbalance. The market impact of large-sized orders grows to be an even more serious issue when orders of the counterparties are relatively scarce. Informed investors may have to strategically break up their orders into smaller lots so as to disguise their activities and protect their information advantage. Panel B of Table 6 reports that domestic institutions using large-sized orders make NT$10 million less per day over a one-day horizon, NT$2 million less per day over a 10-day horizon and NT$8.3 million less per day over a 30-day horizon in the case of large order imbalance. In contrast, the medium-sized orders of domestic institutions earn NT$0.6 million more per day over a one-day horizon, NT$0.6 million more per day over a 10-day horizon and NT$2.2 million more per day over a 30-day horizon in the case of large order imbalance. For investors who do not rely on private information in the pre-announcement period, order imbalance in general does not notably affect their overall profitability and order choices. Individual investors placing large-sized and aggressive orders make better profits in the case of large order imbalance where their disadvantage relative to domestic institutions is smaller. Similarly, foreign institutions using medium- and small-sized orders perform better in the case of large order imbalance.
30

5. CONCLUSIONS
A surprising variety of approaches is used within the literature to determine which investors have information advantages, largely as a result of data restrictions. Using a unique and remarkably comprehensive dataset in the present study, we adopt a direct approach of measuring order informativeness by computing the daily dollar profits (net of market gains) for various order categories. We recognize the investor group with the higher average profits as the group with the information advantage; that is, those who know more will ultimately gain more. We go on to trace the profits of the investor groups to the different order categories, in terms of size and aggressiveness, in order to investigate the choice of orders made by well-performed investors. Firm-specific annual earnings news announcements serve as an ideal setting for examining the comparative short-lived information advantage for various groups of investors. Those possessing different levels of information prior to such announcements or those with different information-processing ability may interpret earnings news differently, and may therefore trade differently in response to such news.20 While prior studies suggest that informed investors tend to break up their orders into smaller lots in order to reduce their impact on market prices in a quote-driven or hybrid limit order-specialist market, we show that such order submission strategies may be subject to change under different market structures and information horizons. In a pure order-driven market, we find that domestic institutions with the short-lived private information tend to use large-sized orders with competitive prices to take up all of the available liquidity and thereby ensure their trading profits. Conversely, skilled foreign institutions with the propensity of trend chasing accrue profits through
20

See Karpoff (1986), Demski and Feltham (1994) and Kim and Verrecchia (1994, 1997). 31

more conservative trading using smaller orders and less aggressive prices. Our results provide support for the geographical information asymmetry hypothesis proposed in many of the prior studies.21 We find that as compared to foreign institutions, domestic institutions have a clear information advantage relating to local annual earnings announcements. They exhibit better stock selection ability and have superior trading performance. The domicile status appears to provide domestic institutions with access to private earnings information. However, such local private information advantage enjoyed by domestic institutions is invariably short-lived. Thus, informed domestic institutions tend to use large-sized orders to rapidly secure their trading profits. The superior performance of domestic institutions in the pre-event window is likely to stem from private information, as the profitability declines in the post-event and non-event periods. The profitability also drops in the comparable non-event price run-ups. On the contrary, individual investors and foreign institutions exhibit consistent performance in the pre-event periods and non-event price run-ups. Skilled foreign institutions perform even better in the post-event periods. In general, institutions do not outperform individuals in regular non-even periods. Institutional investors have a clear preference for liquid stocks, with such investors possessing an informational advantage invariably making significantly higher profits from trading in stocks with high trading volume. Informed domestic institutions are more likely to employ large-sized orders when trading in liquid stocks. They, however, tend to partially replace large-sized orders with medium- and small-sized orders to reduce market impacts when buy orders far exceeds sell orders.

21

Such as Cooper and Kaplanis (1994), Brennan and Cao (1997) Hau (2001) and Choe et al. (2005). 32

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37

Table 1

Descriptive Statistics for Cumulative Abnormal Returns

The table reports descriptive statistics for the five groups of annual earnings announcements classified by cumulative abnormal returns (CAR) in the pre-event period during 2005 and 2006. The abnormal returns are obtained from the market model with corrected beta according to the methodology provided in Scholes and Williams (1977). *, **, and *** indicate significance at the 10, 5, and 1 percent level, respectively. Top Group 2nd Group CAR [-1, -20] Mean Median Std. dev. (t-statistics) CAR [0, 19] Mean Median Std. dev. (t-statistics) Number of Observations 16.5450 14.4810 8.3486 (25.15) *** 7.2515 5.2718 14.6818 (6.27) *** 161 4.9364 4.5704 1.6579 (37.66) *** 5.2705 2.3450 13.8601 (4.81) *** 160 3rd Group 0.3321 0.4997 1.2441 (3.38) *** 1.9134 0.7014 11.8285 (2.04)** 160 4th Group -4.4010 -4.4979 1.5280 (-36.43) *** -1.0867 -1.6836 10.1111 (-1.36) 160 Bottom Group -13.9075 -12.5139 6.6272 (-26.63) *** -3.0871 -3.9366 9.8161 (-3.99) *** 161

Figure 1 Average Cumulative Abnormal Returns for the Top Two Groups The figure presents the average cumulative abnormal returns from 140 days before through 20 days after the annual earnings announcements for the top two CAR groups.
10 8 6 4

Average CAR (%)

2 0 -2 -4 -6 -8 -10 -140

-120

-100

-80

-60

-40

-20

20

Event Time (Day)

38

Table 2 Percentage of Executed Orders by Order Categories The table reports the number of executed orders (Panel A) and the shares of executed orders (Panel B) in percentage term by order categories for the sample of top two CAR groups during 2005 and 2006. Only fully and partially executed orders are considered. Panel C reports the number of executed orders and the shares of executed orders in percentage term for each investor group with respect to order size and aggressiveness in the pre-event period. Order sizes are classified as small (1,000-4,999 shares), medium (5,000-9,999 shares), and large (10,000 + shares). Order aggressiveness is classified as aggressive orders (buy limit orders with prices higher than or equal to the last market price and sell limit orders with prices lower than or equal to the last market price) and passive orders (buy limit orders with prices lower than the last market price and sell limit orders with prices higher than the last market price). Panel A Number of Executed Orders Pre-Event Period Buy Sell Order Size Small Orders Medium Orders Large Orders Aggressiveness Aggressive Orders 39.17 Passive Orders 9.74 Trader Type Individuals Domestic Institutions Foreign Institutions 42.67 1.67 4.57 45.86 1.52 3.7 44.39 1.44 4.49 44.81 1.53 3.33 43.93 1.76 5.06 43.04 1.88 4.33 39.83 11.26 40.02 10.31 39.11 10.56 39.91 10.84 39.15 10.09 28.04 8.22 12.65 29.71 8.67 12.7 28.58 8.48 13.26 28 8.48 13.2 29.66 8.43 12.66 28.47 8.26 12.51 Post-Event Period Buy Sell Non-Event Period Buy Sell

Panel B Shares of Executed Orders Pre-Event Period Buy Sell Order Size Small Orders Medium Orders Large Orders Aggressiveness 5.12 4.88 40.23 5.44 5.21 39.12

Post-Event Period Buy Sell 4.97 4.77 40.36 4.91 4.84 40.16

Non-Event Period Buy Sell 5.32 4.94 39.83 5.16 4.93 39.82

39

Aggressive Orders 41.28 Passive Orders 8.95 Trader Type Individuals Domestic Institutions Foreign Institutions 35.26 6.63 8.34

39.56 10.22

41.15 8.95

39.89 10.02

40.63 9.46

40.42 9.49

37.21 5.57 7

36.91 5.72 7.46

38.31 5.84 5.76

34.91 6.16 9.01

35.62 6.3 8

Panel C Percentage of Order Choices by Investor Groups in Pre-event Window Individuals Domestic Institutions Foreign Institutions Aggress Passive Aggress Passive Aggress Passive Number of Executed Orders Small Orders Medium Orders Large Orders 45.52 13.59 19.22 13.16 3.64 4.87 21.83 10.27 45.77 3.13 3.14 15.86 44.78 13.60 27.99 6.46 2.36 4.81

Shares of Executed Orders Small Orders Medium Orders Large Orders 9.86 9.48 60.71 2.81 2.53 14.61 1.14 1.71 74.36 0.18 0.50 22.10 4.90 5.16 76.79 0.74 0.89 11.52

40

Table 3 Mean Daily Dollar Profit for Various Order Categories The table reports the mean daily dollar profit ($NT million) in the pre-event (Panel A), post-event (Panel B), and non-even periods (Panel C). The daily dollar profits are calculated as the difference between the daily dollar returns on the buy portfolio and the daily dollar returns on the sell portfolio, net of the market gains. Portfolios are constructed based on net daily purchases and sales of each order category, assuming a holding period of 1, 10, and 30 trading days. Only fully and partially executed orders are considered. Order sizes are classified as small (1,000-4,999 shares), medium (5,000-9,999 shares), and large (10,000 + shares). Order aggressiveness is classified as aggressive orders (buy limit orders with high price and sell limit orders with low price) and passive orders (buy limit orders with low prices and sell limit orders with high prices). The figures in parenthesis are t statistics in panel models. *, **, and *** indicate significance at the 10, 5, and 1 percent level, respectively. Panel A The Pre-Announcement Period 1-Day Holding Period Buys Sells Buys-Sells Size Large 8.3(3.29)*** -5.7(-0.92) 14(2.89)*** Medium 0.4(0.26) 1.7(0.94) -1.2(-0.5) Small -6.2(-1.23) 6.6(3.1)*** -12.8(-2.36)** Aggressiveness Aggressive 87.2(1.98)** 16.2(2.55)** 71.1(2.97)*** Passive 16.2(2.55)** 87.2(1.98)** -71.1(-2.97)*** Trader Individual 4.1(0.88) 18.7(3.91)*** -14.5(-2.17)** Domestic Institution 8.7(3.2)*** -1.6(-0.46) 10.3(2.91)*** Foreign Institution 10(4.54)*** 5.8(0.81) 4.2(1.76)* Panel B The Post-Announcement Period 1-Day Holding Period Buys Sells Buys-Sells

10-Day Holding Period Buys Sells Buys-Sells

2.4(4.55)*** 0.3(5.11)*** 0.9(4.46)*** 6.7(4.76)*** 3.5(7.46)*** 2.4(6.31)*** 2.7(6.22)*** 0.8(1.9)* 1.2(4.99)*** 0.5(4.95)*** 1.9(4.11)*** 3.5(7.46)*** 6.7(4.76)*** 3.5(4.87)*** 0.2(0.66) 2.2(4.29)*** 1.2(2.65)*** -0.2(-2.2)** -1(-2.55)** 3.3(3.07)*** -3.3(-3.07)*** -1.1(-1.66)* 2.6(4.77)*** -1.5(-2.55)**

30-Day Holding Period Buys Sells Buys-Sells

12.9(7.64)*** 2.8(9.72)*** 8.5(7.97)*** 24.1(7.11)*** 20(9.6)*** 18.2(9.63)*** 10(8.52)*** 9.8(5.51)*** 11.3(8.95)*** 3.2(9.04)*** 9.7(6.71)*** 20(9.6)*** 24.1(7.11)*** 19.8(8.58)*** 5.5(6.1)*** 12.7(8.28)*** 1.5(1.99)** -0.4(-1.42) -1.2(-1.62) 4.1(2.08)** -4.1(-2.08)** -1.6(-2.17)** 4.6(3.97)*** -2.9(-2.01)**

10-Day Holding Period Buys Sells Buys-Sells

30-Day Holding Period Buys Sells Buys-Sells

41

Size Large Medium Small Aggressiveness Aggressive Passive Trader Individual Domestic Institution Foreign Institution

8.6(2.8)*** -1.3(-0.83) 7.8(0.85) 76.6(2.17)** 30.2(2.37)** -6.2(-1.86)* 6.3(1.29) 17.7(2.52)**

6.6(0.67) 1.7(1.5) 6.8(2.93)*** 30.2(2.37)** 76.6(2.17)** 24(3.88)*** -2.7(-0.99) -3.5(-1.31)

2(0.2) -3(-1.54) 1(0.1) 46.4(1.24) -46.4(-1.24) -30.2(-4.31)*** 8.9(1.61) 21.3(2.82)***

1.5(1.58) 0.2(2.09)** 0.9(3.11)*** 7.2(3.23)*** 3.9(4.41)*** 0.8(1.71)* 0.9(2.51)** 0.7(0.86)

1.1(3.02)*** 0.5(1.51) 1(1.59) 3.9(4.41)*** 7.2(3.23)*** 1.7(1.99)** 0.3(0.83) 0.5(1.33)

0.4(0.59) -0.3(-1.07) -0.1(-0.2) 3.3(1.79)* -3.3(-1.79)* -0.9(-1.09) 0.6(1.28) 0.3(0.29)

11.9(2.84)*** 1.6(4.19)*** 5.6(5.84)*** 24.1(4.39)*** 16.2(6.1)*** 9.2(6.41)*** 12.5(8.19)*** -2.4(-0.71)

7.2(5.51)*** 3.6(2.44)** 8.3(3.02)*** 16.2(6.1)*** 24.1(4.39)*** 10.1(2.86)*** 9.1(5.89)*** 0(0.05)

4.7(1.49) -1.9(-1.7)* -2.7(-1.35) 7.9(2.26)** -7.9(-2.26)** -1(-0.35) 3.4(5.23)*** -2.4(-0.59)

Panel C The Non-Event Period 1-Day Holding Period Buys Sells Buys-Sells Size Large Medium Small Aggressiveness Aggressive Passive Trader Individual Domestic Institution Foreign Institution
4.3(2.57)** -0.8(-2.01)** 0.7(0.39) 20.9(3.83)*** 9.2(1.84)* -0.3(-0.18) 4(0.86) 4.8(3.87)*** 0(-0.01) 1(1.33) 3.3(2.91)*** 9.2(1.84)* 20.9(3.83)*** 8.8(1.82)* 0.3(0.23) -0.7(-0.54) 4.3(1.78)* -1.8(-2.1)** -2.6(-1.22) 11.7(1.58) -11.7(-1.58) -9.1(-1.77)* 3.6(0.75) 5.5(3.14)***

10-Day Holding Period Buys Sells Buys-Sells

-0.3(-1.63) 0.1(2.25)** 0.1(1.06) 0.1(0.26) 1.7(4.41)*** 0(0.02) 0.2(0.87) -1.4(-9.51)*** 0.2(1.48) -0.1(-2.02)** -0.1(-1.32) 1.7(4.41)*** 0.1(0.26) -1.3(-5.66)*** -0.3(-3.57)*** 0.3(2.79)*** -0.4(-2.9)*** 0.2(3.25)*** 0.2(2.46)** -1.7(-5.71)*** 1.7(5.71)*** 1.3(5.31)*** 0.5(2.43)** -1.8(-10.25)***

30-Day Holding Period Buys Sells Buys-Sells

-3.6(-9.85)*** -0.7(-8.56)*** -1.9(-6.04)*** -3.5(-2.38)** 2(1.73)* -5.5(-8.75)*** -1.2(1.80)* -3(-6.21)*** -2.6(-7.15)*** -1.4(-12.73)*** -2.2(-7.94)*** 2(1.73)* -3.5(-2.38)** -7.3(-15.97)*** -1.5(-10.79)*** -1(-2.51)** -1(-3.86)*** 0.7(7.57)*** 0.3(1.51) -5.6(-4.78)*** 5.6(4.78)*** 1.7(10.51)*** 0.3(4.59)*** -2.0(-4.71)***

42

Table 4 Investors Order Choices in the Pre-Announcement Period The table reports the mean daily dollar profit (in $NT million) for investors order choices regarding size and aggressiveness respectively in the pre-event period. The daily dollar profits are calculated as the difference between the daily dollar returns on the buy portfolio and the daily dollar returns on the sell portfolio, net of the market gains. Portfolios are constructed based on net daily purchases and sales of each subcategory, assuming a holding period of 1, 10, and 30 trading days. Only fully and partially executed orders are considered. Order sizes are classified as small (1,000-4,999 shares), medium (5,000-9,999 shares), and large (10,000 + shares). Order aggressiveness is classified as aggressive orders (buy limit orders with high price and sell limit orders with low price) and passive orders (buy limit orders with low prices and sell limit orders with high prices). The figures in parenthesis are t statistics in panel models. *, **, and *** indicate significance at the 10, 5, and 1 percent level, respectively. Mean Daily Dollar Profit (Buys-Sells in $NT million) Holding Period Panel A. Individuals Total Size Large Medium Small Aggressiveness Aggressive Passive 1 Day
-14.5(-2.17)**

10 Days
-1.1(-1.66)*

30 Days
-1.6(-2.17)**

-6(-1.26) -2.1(-1.55) -6.4(-2.75)***

0(0.1) -0.2(-1.6) -0.9(-3.04)***

0.1(0.09) -0.5(-1.67)* -1.3(-2.03)**

-7.4(-1.08) -7.1(-1.67)*

0.3(0.51) -1.4(-2.86)***

0.8(0.71) -2.5(-2.58)***

Panel B. Domestic Institutions 10.3(2.91)*** Total Size 9.7(2.94)*** Large 0.2(0.22) Medium 0.5(1.48) Small Aggressiveness Aggressive Passive
2.3(0.38) 8(1.65)*

2.6(4.77)***

4.6(3.97)***

2.7(5.11)*** -0.1(-1.76)* 0(-0.78)

5.8(5.69)*** -0.5(-2.73)*** -0.7(-3.03)***

1.9(4.21)*** 0.7(4.06)***

2.4(2.58)*** 2.2(5.68)***

Panel C. Foreign Institutions 4.2(1.76)* Total Size -0.6(-0.09) Large 2.3(2.9)*** Medium Small Aggressiveness Aggressive Passive
2.6(1.72)*

-1.5(-2.55)**

-2.9(-2.01)**

-1.7(-3.32)*** 0.1(2.09)** 0.1(1.09)

-4.1(-3.24)*** 0.6(2.57)** 0.6(2.02)**

2.9(0.39) 1.4(1.66)* 43

-1.6(-2.78)*** 0.1(1.72)*

-3.6(-2.65)*** 0.6(2.45)**

Table 5 Comparison between Pre-Event Periods and Non-Event Price Run-ups The table reports the mean daily dollar profit (in $NT million) of investors order choices regarding size and aggressiveness in the pre-event period and non-event price run-ups. The non-event price run-ups are non-overlapping 20-day windows with cumulative returns in the top ten percent. The mean difference in profits between the pre-event period and non-event price run-ups for each category is also computed (Diff). The figures in parenthesis are t statistics for mean profits and unpaired t statistics for mean differences. *, **, and *** indicate significance at the 10, 5, and 1 percent level, respectively. 1 Day Non-Event
-0.1(-0.56) -4.1(-2.78)*** -11.2(-3.68)*** 2.8(0.42) -18.1(-3.2)*** 3.5(1.57) 0.6(1.88)* -0.7(-0.94) 4.8(1.99)** -1(-0.73) 11.3(2.89)*** 2.6(2.86)*** 1.9(1.78)* 8.9(2.3)** 6.8(3.57)***

Pre-Event Panel A. Individuals Large -6(-1.26) Medium -2.1(-1.55) Small -6.4(-2.75)*** Aggressive -7.4(-1.08) Passive -7.1(-1.67)* Panel B. Domestic Institutions Large 9.7(2.94)*** Medium 0.2(0.22) Small 0.5(1.48) Aggressive 2.3(0.38) Passive 8(1.65)* Panel C. Foreign Institutions Large -0.6(-0.09) Medium 2.3(2.9)*** Small 2.6(1.72)* Aggressive 2.9(0.39) Passive 1.4(1.66)*

Diff
-5.9(-1.24) 2(1.00) 4.8(1.01) -10.2(-1.07) 11(1.33) 6.2(2.13)** -0.4(-0.42) 1.2(1.47) -2.5(-0.38) 9(1.58) -11.9(-1.54) -0.3(-0.25) 0.7(0.38) -6(-0.72) -5.4(-2.39)**

Pre-Event
0(0.1) -0.2(-1.6) -0.9(-3.04)*** 0.3(0.51) -1.4(-2.86)*** 2.7(5.11)*** -0.1(-1.76)* 0(-0.78) 1.9(4.21)*** 0.7(4.06)*** -1.7(-3.32)*** 0.1(2.09)** 0.1(1.09) -1.6(-2.78)*** 0.1(1.72)* 44

10 Days Non-Event
0.1(0.28) -0.1(-1.18) 0.2(0.84) -0.1(-0.31) 0.5(1.66)* 0(-0.05) 0(-0.37) -0.1(-1.36) -0.4(-2.21)** 0.4(3.26)*** -0.3(-0.97) 0.1(1.98)** 0.2(1.4) -0.4(-1.6) 0.4(2.87)***

Diff
-0.1(-0.28) -0.1(-0.66) -1.1(-2.90)*** 0.4(0.60) -1.9(-3.31)*** 2.7(5.11)*** -0.1(-1.76)* 0.1(1.36) 2.3(4.73)*** 0.3(1.42) -1.4(-2.34)** 0(0.00) -0.1(-0.59) -1.2(-1.91)* -0.3(-1.89)*

Pre-Event
0.1(0.09) -0.5(-1.67)* -1.3(-2.03)** 0.8(0.71) -2.5(-2.58)*** 5.8(5.69)*** -0.5(-2.73)*** -0.7(-3.03)*** 2.4(2.58)*** 2.2(5.68)*** -4.1(-3.24)*** 0.6(2.57)** 0.6(2.02)** -3.6(-2.65)*** 0.6(2.45)**

30 Days Non-Event
-0.4(-0.86) -0.7(-3.44)*** -0.5(-0.86) -3(-4.49)*** 1.3(3.48)*** -0.3(-0.5) 0(-0.2) -0.2(-1.82)* -2.6(-4.75)*** 2.2(8.03)*** -1(-1.2) 0.9(3.76)*** 2.2(3.96)*** -0.2(-0.33) 2.2(5.3)***

Diff
0.5(0.42) 0.2(0.55) -0.8(-1.92)* 3.8(2.90)*** -3.8(-3.66)*** 6.1(5.16)*** -0.5(-2.73)*** -0.5(-1.95)* 5(4.63)*** 0(0.00) -3.1(-2.05)** -0.3(-0.90) -1.6(-2.54)** -3.4(-2.29)* -1.6(-3.32)***

Table 6 Sensitivity Analyses: Trading Volume and Order Imbalance The table reports the mean daily dollar profit (in $NT million) of investors order choices, assuming a holding period of 1, 10, and 30 trading days, by trading volume (Panel A) and order imbalance (Panel B) in the pre-event period. For each stock, the trading volume is defined as the daily average number of shares traded in the pre-announcement window. The order imbalance is defined as the average of the daily order imbalance in the pre-announcement window; the daily order imbalance is calculated as the number of buy orders less the number of sell orders divided by the total number of orders. The mean of the difference in profits between firm groups is also computed. The daily dollar profits are calculated as the difference between the daily dollar returns on the buy portfolio and the daily dollar returns on the sell portfolio, net of the market gains. Portfolios are constructed based on net daily purchases and sales of each subcategory, assuming a holding period of 1, 10, and 30 trading days. Only fully and partially executed orders are considered. The figures in parenthesis are t statistics for mean profits and paired t statistics for mean differences. *, **, and *** indicate significance at the 10, 5, and 1 percent level, respectively. Panel A By Trading Volume Mean Daily Dollar Profit (Buys-Sells) in $NT million High Trading Volume Firms Low Trading Volume Firms 1 day 10 days 30 days 1 day 10 days Individuals -28.2(-2.12)** -2.5(-1.9)* -3.6(-1.27) -0.9(-0.54) 0.3(2.45)** Size Large -11.6(-1.24) 0(-0.02) -0.2(-0.1) -0.4(-0.23) 0.1(0.91) Medium -4.6(-1.75)* -0.5(-2.23)** -1.1(-2.05)** 0.4(0.6) 0.1(3.64)*** Small -12(-2.63)*** -1.9(-3.14)*** -2.3(-2.04)** -0.9(-1.31) 0.1(1) Aggressiveness Aggressive -14.9(-1.09) 0.7(0.59) 1.5(0.63) 0.1(0.03) -0.1(-0.74) Passive -13.2(-1.11) -3.2(-3.29)*** -5.2(-2.66)*** -1(-0.43) 0.4(3.98)*** Domestic 20.6(2.91)*** 5.4(5.05)*** 9.7(4.22)*** 0.1(0.08) -0.3(-2.24)** Institutions Size Large 19.2(2.92)*** 5.7(5.41)*** 12.2(6.01)*** 0.3(0.3) -0.3(-2.39)** Medium 0.5(0.32) -0.2(-1.91)* -1(-2.72)*** -0.1(-0.76) 0(0.96)
45

30 days
0.3(0.76) 0.4(1.9)* 0.2(1.58) -0.3(-1.53) 0.1(0.64) 0.1(0.46) -0.5(-1.79)*

Mean Profit Difference in $NT million High - Low 1 day 10 days 30 days
-27.3(-2.03)** -11.2(-1.17) -5(-1.85)* -11.1(-2.51)*** -15(-1.09) -12.2(-1.01) 20.5(2.9)*** -2.8(-2.11)** -0.1(-0.14) -0.7(-2.83)*** -2(-3.23)*** 0.8(0.67) -3.6(-3.67)*** 5.7(5.24)*** -3.9(-1.35) -0.6(-0.29) -1.3(-2.33)** -2(-1.98)** 1.4(0.58) -5.3(-2.69)*** 10.2(4.39)***

-0.5(-1.94)* 0(-0.29)

18.9(2.88)*** 0.6(0.42)

5.9(5.61)*** -0.2(-2.02)**

12.7(6.2)*** -1(-2.69)***

Small Aggressiveness Aggressive Passive Foreign Institution Size Large Medium Small Aggressiveness Aggressive Passive

1(1.57) 4.5(0.37) 16.2(1.46) 7.6(0.51)

-0.1(-0.77) 4(4.6)*** 1.4(3.95)*** -2.9(-2.51)**

-1.5(-3.08)*** 5.3(2.89)*** 4.4(5.67)*** -6.1(-2.07)**

-0.1(-1.11) 0.2(0.22) -0.1(-0.53) 0.8(0.8)

0(-0.23) -0.3(-2.77)*** 0(1.94)* 0(-0.89)

0(1.1) -0.5(-2.02)** 0(0.37) 0.2(1.09)

1.1(1.66)* 4.3(0.35) 16.3(1.47) 6.8(0.45)

-0.1(-0.75) 4.3(4.88)*** 1.3(3.81)*** -2.9(-2.47)**

-1.5(-3.12)*** 5.9(3.13)*** 4.4(5.62)*** -6.4(-2.15)**

-2.4(-0.18) 4.6(2.88)*** 5.5(1.84)* 5.1(0.34) 2.5(1.08)

-3.5(-3.33)*** 0.3(2.21)** 0.3(1.88)* -3.1(-2.72)*** 0.1(1.12)

-8.4(-3.28)*** 1.1(2.44)** 1.1(2.03)** -7.3(-2.68)*** 1.2(2.23)**

1.1(1.16) 0(0.33) -0.3(-1.93)* 0.6(0.62) 0.2(1.5)

0(0.27) 0(-1.47) 0(-1.91)* -0.1(-1.68)* 0(1.52)

0.2(1.15) 0.1(1.64) 0(0.18) 0.1(0.59) 0.1(2.51)**

-3.6(-0.26) 4.6(2.85)*** 5.8(1.94)* 4.5(0.3) 2.3(0.99)

-3.5(-3.34)*** 0.3(2.31)** 0.3(1.86)* -3(-2.65)*** 0.1(0.91)

-8.6(-3.34)*** 1.1(2.26)** 1.1(1.97)** -7.4(-2.71)*** 1(1.96)*

Panel B By Order Imbalance Mean Daily Dollar Profit (Buys-Sells) in $NT million High Order Imbalance Firms Low Order Imbalance Firms 1 day 10 days 30 days 1 day 10 days Individuals -6.3(-0.66) -1(-1.52) -1.4(-0.89) -22.9(-2.44)** -1.3(-1.13) Size Large 6(0.95) 1.1(2.15)** 4(4.3)*** -18.1(-2.55)** -1(-1.59) Medium -3.3(-1.72)* -0.4(-2.69)*** -1.4(-3.55)*** -0.9(-0.48) -0.1(-0.25) Small -9(-1.36) -1.7(-3.2)*** -4(-3.56)*** -3.9(-1.19) -0.2(-0.64) Aggressiveness Aggressive 6.6(0.59) 2.2(2.54)** 6.9(4.22)*** -21.5(-2.65)*** -1.7(-2.3)**

30 days
-1.9(-0.8) -3.8(-2.37)** 0.5(1.26) 1.5(2.6)*** -5.2(-3)***

Mean Profit Difference in $NT million High - Low 1 day 10 days 30 days
16.5(1.23) 24.1(2.55)** -2.3(-0.85) -5.2(-0.7) 28.1(2.03)** 0.3(0.22) 2.1(2.57)** -0.3(-1.28) -1.5(-2.47)** 3.9(3.43)*** 0.4(0.16) 7.8(4.2)*** -1.9(-3.38)*** -5.5(-4.33)*** 12.1(5.07)***

46

Passive -13(-1.3) Domestic 6(0.77) Institutions Size Large 4.8(0.71) Medium 0.5(2.73)*** Small 0.8(2.18)** Aggressiveness Aggressive -7(-0.68) Passive 13(3.18)*** Foreign 0.3(0.02) Institution Size Large -8(-0.6) Medium 3.2(2.14)** Small 5.1(1.8)* Aggressiveness Aggressive -1.3(-0.09) Passive 1.6(0.73)

-3.2(-3.77)*** 2(1.88)*

-8.4(-4.7)*** 2.3(1.4)

-1.3(-0.18) 14.8(2.96)***

0.4(0.8) 3.1(3.79)***

3.3(4.23)*** 6.8(5.11)***

-11.7(-0.97) -8.8(-2.81)***

-3.6(-3.71)*** -1.1(-2.03)**

-11.7(-6)*** -4.5(-3.46)***

1.7(1.43) 0.2(2.11)** 0.1(1.74)* 0.6(2.81)*** 1.5(1.83)* -1(-1.06)

1.7(1.7)* 0.6(3.08)*** 0.1(1.44) -0.6(-0.4) 2.9(2.63)*** 0.8(0.42)

14.8(3.98)*** -0.2(-0.72) 0.2(1.07) 11.7(1.82)* 3.1(1.71)* 8.1(1.84)*

3.6(3.77)*** -0.4(-1.75)* -0.1(-1.71)* 3.2(3.16)*** -0.1(1.36) -1.8(-2.82)***

10(5.12)*** -1.6(-2.17)** -1.5(-3.23)*** 5.3(4.32)*** 1.5(2.36)** -6.7(-2.96)***

-10(-2.99)*** 0.6(2.44)*** 0.7(1.99)** -18.7(-1.75)* 9.8(2.88)*** -7.8(-0.52)

-2(-2.27)** 0.6(2.01)** 0.2(1.72)* -2.6(-2.97)*** 1.6(1.76)* 0.8(0.7)

-8.3(-2.64)*** 2.2(2.93)*** 1.6(3.03)*** -5.9(-3.19)*** 1.4(2.53)*** 7.5(2.57)**

-1.5(-1.76)* 0.2(1.88)* 0.3(1.31) -1(-1.09) 0(-0.05)

-2.8(-2.14)** 1.5(3.4)*** 2(3.92)*** -0.3(-0.2) 1.1(2.4)**

6.6(1.77)* 1.5(2.41)** 0(-0.01) 7(1.78)* 1.1(1.4)

-1.9(-3.11)*** 0.1(0.98) 0(-0.74) -2(-3.16)*** 0.2(2.69)***

-5.5(-2.51)** -0.3(-2.39)** -0.9(-3.77)*** -6.8(-3.16)*** 0.2(0.72)

-14.6(-1.06) 1.7(1.07) 5.1(1.73)* -8.3(-0.56) 0.5(0.22)

0.3(0.33) 0.2(1.14) 0.3(1.41) 1(0.87) -0.2(-1.39)

2.7(1.08) 1.8(4.02)*** 2.9(5.24)*** 6.5(2.44)** 0.9(1.77)*

47