Individual Investor Trading and Return Patterns around Earnings Announcements

• 成果类型: Article
• 署名作者: Kaniel, Ron; Liu, Shuming; Saar, Gideon; Titman, Sheridan
• 署名单位: University of Rochester; California State University System; San Francisco State University; Cornell University; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01727.x
• 发表日期: 2012
• 页码: 637-680
• 关键词: STOCK RETURNS; MARKET-EFFICIENCY; SECURITY RETURNS; BEHAVIOR; trades; drift; performance; prices; size; RISK

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.