Individual Investor Trading and Return Patterns around Earnings Announcements

被引：219

作者：

Kaniel, Ron ^{[1
]}

Liu, Shuming ^{[2
]}

Saar, Gideon ^{[3
]}

Titman, Sheridan ^{[4
]}

机构：

[1] Univ Rochester, Simon Grad Sch Business, Rochester, NY 14627 USA

[2] San Francisco State Univ, Coll Business, San Francisco, CA 94132 USA

[3] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA

[4] Univ Texas Austin, McCombs Sch Business, Austin, TX 78712 USA

来源：

JOURNAL OF FINANCE | 2012年 / 67卷 / 02期

关键词：

STOCK RETURNS; MARKET-EFFICIENCY; SECURITY RETURNS; BEHAVIOR; TRADES; DRIFT; PERFORMANCE; PRICES; SIZE; RISK;

D O I：

10.1111/j.1540-6261.2012.01727.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper provides evidence of informed trading by individual investors around earnings announcements using a unique data set 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 abnormal returns following the event into information and liquidity provision components, and show that about half of the returns can be attributed to private information. We also find that individuals trade in both return-contrarian and news-contrarian manners after earnings announcements. The latter behavior has the potential to slow the adjustment of prices to earnings news.

引用

页码：637 / 680

页数：42

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