Do institutional investors exploit the post-earnings announcement drift?

• 成果类型: Article
• 署名作者: Ke, B; Ramalingegowda, S
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2004.02.002
• 发表日期: 2005
• 关键词: MUTUAL FUND PERFORMANCE; disclosure practices; transactions costs; FUTURE EARNINGS; stock-prices; MARKETS; INFORMATION; analysts; Sophistication; explanation

摘要

We provide evidence that transient institutional investors (i.e., those actively trading to maximize short term profits) trade to exploit the post-earnings announcement drift (PEAD). We estimate that transient institutions' arbitrage generates an abnormal return of 5.1% (or 22% annualized) after transaction costs. In addition, their arbitrage trades accelerate the speed that stock prices reflect the implications of current earnings for future earnings. However, transient institutions trade less aggressively to exploit PEAD in firms with high transaction costs. Our results contribute to understanding the role of transient institutional investors in explaining the persistence of PEAD. (c) 2004 Elsevier B.V. All rights reserved.