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Are individual investors liquidity providers around earnings announcements? Evidence from an emerging market

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  • Zhijuan Chen
  • William T. Lin
  • Changfeng Ma
  • Kent Wang

Abstract

We first document that both buying and selling by individual investors before earnings announcements are negatively correlated with post‐event abnormal returns using a unique dataset that allows us to precisely identify individual investor trading. Next, we show that both buying and selling by individual investors before earnings announcements not only are positively associated with contemporaneous returns, but also respond positively to past returns. This is consistent with the idea that individual investors act as liquidity providers (demanders) when they sell (buy) before earnings announcements. Individual investor buying and individual investor selling after earnings announcements confirm this point.

Suggested Citation

  • Zhijuan Chen & William T. Lin & Changfeng Ma & Kent Wang, 2020. "Are individual investors liquidity providers around earnings announcements? Evidence from an emerging market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3447-3475, December.
    • Handle: RePEc:bla:acctfi:v:60:y:2020:i:4:p:3447-3475
    DOI: 10.1111/acfi.12529
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    References listed on IDEAS

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