Investor Trading and the Post-Earnings-Announcement Drift

• 成果类型: Article
• 署名作者: Ayers, Benjamin C.; Li, Oliver Zhen; Yeung, P. Eric
• 署名单位: University System of Georgia; University of Georgia; University of Arizona
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr.00000027
• 发表日期: 2011
• 页码: 385-416
• 关键词: institutional investors; stock returns; price; INFORMATION; ANALYST; trades; size; forecasts; Sophistication; underreaction

摘要

We examine whether the two distinct post-earnings-announcement drifts associated with seasonal random-walk-based and analyst-based earnings surprises are attributable to the trading activities of distinct sets of investors. We predict and find that small (large) traders continue to trade in the direction of seasonal random-walk-based (analyst-based) earnings surprises after earnings announcements. We also find that when small (large) traders react more thoroughly to seasonal random-walk-based (analyst-based) earnings surprises at the earnings announcements, the respective drift attenuates. Further evidence suggests that delayed small trades associated with random-walk-based surprises are consistent with small traders' failure to understand time-series properties of earnings, whereas delayed large trades associated with analyst-based surprises are more consistent with a longer price discovery process. We also find that the analyst-based drift has declined in recent years.