Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades

被引：136

作者：

Hirshleifer, David A. ^{[1
]}

Myers, James N. ^{[2
]}

Myers, Linda A. ^{[2
]}

Teoh, Siew Hong ^{[1
]}

机构：

[1] Univ Calif Irvine, Irvine, CA 92717 USA

[2] Univ Arkansas, Fayetteville, AR 72701 USA

来源：

ACCOUNTING REVIEW | 2008年 / 83卷 / 06期

关键词：

post-earnings announcement drift; market efficiency; individual investors; investor sophistication;

D O I：

10.2308/accr.2008.83.6.1521

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study tests whether naive trading by individual investors, or some class of individual investors, causes post-earnings announcement drift (PEAD). Inconsistent with the individual trading hypothesis, individual investor trading fails to subsume any of the power of extreme earnings surprises to predict future abnormal returns. Moreover, individuals are significant net buyers after both negative and positive extreme earnings surprises, consistent with an attention effect, but not with their trades causing PEAD. Finally, we find no indication that trading by individuals explains the concentration of drift at subsequent earnings announcement dates.

引用

页码：1521 / 1550

页数：30

共 63 条

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