Earnings expectations, investor trade size, and anomalous returns around earnings announcements

• 成果类型: Article
• 署名作者: Battalio, RH; Mendenhall, RR
• 署名单位: University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.08.002
• 发表日期: 2005
• 页码: 289-319
• 关键词: investor clienteles; biased expectations; EARNINGS EXPECTATIONS

摘要

We provide evidence that identifiable subsets of investors use significantly different information sets. Investors initiating large trades respond to analysts' earnings forecast errors, while investors initiating small trades respond to a less-sophisticated signal that underestimates the implications of current earnings innovations for future earnings levels. This suggests small investors exhibit the behavior that Bernard and Thomas [Journal of Accounting and Economics 13, 305-340] theorize causes post-earnings announcement drift. We also use analysts' forecasts to significantly improve the predictability of returns around earnings announcements previously documented by Bernard and Thomas. Finally, results attempting to link return predictability to the prevalence of small-investor trading are mixed. (c) 2005 Elsevier B.V. All rights reserved.