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Individual Investor Trading and Return Patterns around Earnings Announcements

The Journal of finance (New York), 2012-04, Vol.67 (2), p.639-680 [Peer Reviewed Journal]

2012 American Finance Association ;2012 the American Finance Association ;Copyright Blackwell Publishers Inc. Apr 2012 ;ISSN: 0022-1082 ;EISSN: 1540-6261 ;DOI: 10.1111/j.1540-6261.2012.01727.x ;CODEN: JLFIAN

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Title:
Individual Investor Trading and Return Patterns around Earnings Announcements
Author: KANIEL, RON ; LIU, SHUMING ; SAAR, GIDEON ; TITMAN, SHERIDAN
Subjects: Abnormal returns ; Contrarian investing ; Datasets ; Dividends ; Earnings announcements ; Earnings forecasting ; Financial information ; Financial reporting ; Individuals ; Investors ; Liquidity ; Liquidity risk ; New York Stock Exchange ; Price level changes ; Proxy reporting ; Securities trading ; Stock exchanges ; Stock prices ; Stock returns ; Studies ; Trade ; U.S.A
Is Part Of: The Journal of finance (New York), 2012-04, Vol.67 (2), p.639-680
Description: 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.
Publisher: Malden, USA: Blackwell Publishing Inc
Language: English
Identifier: ISSN: 0022-1082
EISSN: 1540-6261
DOI: 10.1111/j.1540-6261.2012.01727.x
CODEN: JLFIAN
Source: Alma/SFX Local Collection

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Individual Investor Trading and Return Patterns around Earnings Announcements

2012 American Finance Association ;2012 the American Finance Association ;Copyright Blackwell Publishers Inc. Apr 2012 ;ISSN: 0022-1082 ;EISSN: 1540-6261 ;DOI: 10.1111/j.1540-6261.2012.01727.x ;CODEN: JLFIAN

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