Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades

• 成果类型: Article
• 署名作者: Hirshleifer, David A.; Myers, James N.; Myers, Linda A.; Teoh, Siew Hong
• 署名单位: University of California System; University of California Irvine; University of Arkansas System; University of Arkansas Fayetteville
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr.2008.83.6.1521
• 发表日期: 2008
• 页码: 1521-1550
• 关键词: MARKET-EFFICIENCY; Sophistication; INVESTMENT; performance; BEHAVIOR; returns; RISK; INFORMATION; attention; news

摘要

This study tests whether naive trading by individual investors, or some class of individual investors, causes post-earnings announcement drift (PEAD). Inconsistent with the individual trading hypothesis, individual investor trading fails to subsume any of the power of extreme earnings surprises to predict future abnormal returns. Moreover, individuals are significant net buyers after both negative and positive extreme earnings surprises, consistent with an attention effect, but not with their trades causing PEAD. Finally, we find no indication that trading by individuals explains the concentration of drift at subsequent earnings announcement dates.