| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8259 |
| DP8259 Individual Investor Trading and Return Patterns around Earnings Announcements | |
| Sheridan Titman; Ron Kaniel; Shuming Liu; Gideon Saar | |
| 发表日期 | 2011-02-21 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper documents evidence consistent with informed trading by individual investors around earnings announcements using a unique dataset of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after earnings announcement dates. We decompose the abnormal returns into a component that is attributed to risk-averse liquidity provision and a component that is attributed to private information or skill, and show that about half of the abnormal returns in the three months following the event can be attributed to private information. We also examine the behavior of individuals after the earnings announcement and find that they trade in the opposite direction to both pre-event returns (i.e., exhibit "contrarian" behavior) and the earnings surprise (i.e., exhibit "news-contrarian" behavior). The latter behavior, which could be consistent with profit-taking, has the potential to slow down the adjustment of prices to earnings news and contribute to the post-earnings announcement drift. |
| 主题 | Financial Economics |
| 关键词 | Earnings announcement Individual investors |
| URL | https://cepr.org/publications/dp8259 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537096 |
| 推荐引用方式 GB/T 7714 | Sheridan Titman,Ron Kaniel,Shuming Liu,et al. DP8259 Individual Investor Trading and Return Patterns around Earnings Announcements. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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