How Investors Trade Around Interim Earnings Announcements
Author
Abstract
Suggested Citation
DOI: 10.1111/j.1468-5957.2006.01358.x
Download full text from publisher
References listed on IDEAS
- Kormendi, Roger & Lipe, Robert, 1987. "Earnings Innovations, Earnings Persistence, and Stock Returns," The Journal of Business, University of Chicago Press, vol. 60(3), pages 323-345, July.
- Gervais, Simon & Odean, Terrance, 2001.
"Learning to be Overconfident,"
The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 1-27.
- Simon Gervais & Terrance Odean, "undated". "Learning To Be Overconfident," Rodney L. White Center for Financial Research Working Papers 5-97, Wharton School Rodney L. White Center for Financial Research.
- Simon Gervais & Terrance Odean, "undated". "Learning To Be Overconfident," Rodney L. White Center for Financial Research Working Papers 05-97, Wharton School Rodney L. White Center for Financial Research.
- Blume, Lawrence E. & Easley, David, 1982. "Learning to be rational," Journal of Economic Theory, Elsevier, vol. 26(2), pages 340-351, April.
- Lakonishok, Josef & Smidt, Seymour, 1986. "Volume for Winners and Losers: Taxation and Other Motives for Stock Trading," Journal of Finance, American Finance Association, vol. 41(4), pages 951-974, September.
- Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, vol. 13(4), pages 305-340, December.
- Beaver, Wh, 1968. "Information Content Of Annual Earnings Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 6, pages 67-92.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Maynes, Elizabeth & Rumsey, John, 1993. "Conducting event studies with thinly traded stocks," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 145-157, February.
- Daniel Kahneman & Amos Tversky, 2013.
"Prospect Theory: An Analysis of Decision Under Risk,"
World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127,
World Scientific Publishing Co. Pte. Ltd..
- Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
- Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
- Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
- Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, vol. 66(2), pages 246-253, May.
- Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar, 1997.
"Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange,"
Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 279-293, June.
- Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar, 1997. "Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange," SSE/EFI Working Paper Series in Economics and Finance 160, Stockholm School of Economics.
- Demski, Joel S. & Feltham, Gerald A., 1994. "Market response to financial reports," Journal of Accounting and Economics, Elsevier, vol. 17(1-2), pages 3-40, January.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Bernard, Vl & Thomas, Jk, 1989. "Post-Earnings-Announcement Drift - Delayed Price Response Or Risk Premium," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 1-36.
- Ball, R & Brown, P, 1968. "Empirical Evaluation Of Accounting Income Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 6(2), pages 159-178.
- Xavier Vives, 1993.
"How Fast do Rational Agents Learn?,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(2), pages 329-347.
- Vives, X., 1990. "How Fast Do Rational Agents Learn?," UFAE and IAE Working Papers 135-90, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Juha-Pekka Kallunki & Teppo Martikainen, 1997. "Trading patterns of small and large traders: implications for the weekend effect in Finland," Applied Economics Letters, Taylor & Francis Journals, vol. 4(10), pages 595-597.
- Cready, Wm, 1988. "Information Value And Investor Wealth - The Case Of Earnings Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 26(1), pages 1-27.
- Gerety, Mason S & Mulherin, J Harold, 1992. "Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close," Journal of Finance, American Finance Association, vol. 47(5), pages 1765-1784, December.
- Lee, Charles M. C., 1992. "Earnings news and small traders : An intraday analysis," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 265-302, August.
- Nofsinger, John R., 2001. "The impact of public information on investors," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1339-1366, July.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990.
"Noise Trader Risk in Financial Markets,"
Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, "undated". "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
- repec:bla:jfinan:v:43:y:1988:i:3:p:698-99 is not listed on IDEAS
- Brad M. Barber & Terrance Odean, 2000. "Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors," Journal of Finance, American Finance Association, vol. 55(2), pages 773-806, April.
- Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
- Shefrin, Hersh & Statman, Meir, 1985. "The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-790, July.
- Hasan, Iftekhar & Malkamaki, Markku, 2001.
"Are expansions cost effective for stock exchanges? A global perspective,"
Journal of Banking & Finance, Elsevier, vol. 25(12), pages 2339-2366, December.
- Hasan, Iftekhar & Malkamäki, Markku, 2000. "Are expansions cost effective for stock exchanges? A global perspective," Bank of Finland Research Discussion Papers 20/2000, Bank of Finland.
- repec:bla:jfinan:v:53:y:1998:i:6:p:1839-1885 is not listed on IDEAS
- Daley, La & Hughes, Js & Rayburn, Jd, 1995. "The Impact Of Earnings Announcements On The Permanent Price Effects Of Block Trades," Journal of Accounting Research, Wiley Blackwell, vol. 33(2), pages 317-334.
- Schadewitz, Hannu J. & Kanto, Antti J., 2002. "The impact of disclosure on the market response to reported earnings," Scandinavian Journal of Management, Elsevier, vol. 18(4), pages 521-542, December.
- Terrance Odean, 1999. "Do Investors Trade Too Much?," American Economic Review, American Economic Association, vol. 89(5), pages 1279-1298, December.
- Benos, Alexandros V., 1998. "Aggressiveness and survival of overconfident traders," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 353-383, September.
- John A. List, 2003.
"Does Market Experience Eliminate Market Anomalies?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(1), pages 41-71.
- John List, 2003. "Does market experience eliminate market anomalies?," Natural Field Experiments 00297, The Field Experiments Website.
- Conrad, Jennifer & Kaul, Gautam, 1998. "An Anatomy of Trading Strategies," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 489-519.
- repec:bla:jfinan:v:53:y:1998:i:5:p:1775-1798 is not listed on IDEAS
- Hannu, Schadewitz, 1997. "Financial and nonfinancial information in interim reports: Determinants and implications," MPRA Paper 44292, University Library of Munich, Germany.
- Wang, F. Albert, 2001. "Overconfidence, Investor Sentiment, and Evolution," Journal of Financial Intermediation, Elsevier, vol. 10(2), pages 138-170, April.
- Bradford Cornell & Richard Roll, 1981. "Strategies for Pairwise Competition in Markets and Organizations," Bell Journal of Economics, The RAND Corporation, vol. 12(1), pages 201-213, Spring.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
- 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.
- Ron Kaniel & Shuming Liu & Gideon Saar & Sheridan Titman, 2012.
"Individual Investor Trading and Return Patterns around Earnings Announcements,"
Journal of Finance, American Finance Association, vol. 67(2), pages 639-680, April.
- Titman, Sheridan & Kaniel, Ron & Liu, Shuming & Saar, Gideon, 2011. "Individual Investor Trading and Return Patterns around Earnings Announcements," CEPR Discussion Papers 8259, C.E.P.R. Discussion Papers.
- Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
- Min-Yuh Day & Yensen Ni & Chinning Hsu & Paoyu Huang, 2022. "Do Investment Strategies Matter for Trading Global Clean Energy and Global Energy ETFs?," Energies, MDPI, vol. 15(9), pages 1-15, May.
- Perotti, Pietro, 2010. "Order aggressiveness as a metric to assess the usefulness of accounting information," The International Journal of Accounting, Elsevier, vol. 45(3), pages 306-333, September.
- Malay K. Dey & B. Radhakrishna (Radha), 2007. "Who Trades Around Earnings Announcements? Evidence from TORQ Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 269-291, January.
- Diego Agudelo & Diego Amaya & Juliana Hincapié & Julián Múnera, 2017. "Attention-based vs information-based trading around announcements. Evidence from an emerging market," Documentos de Trabajo de Valor Público 16359, Universidad EAFIT.
- G. Geoffrey Booth & Juha‐Pekka Kallunki & Petri Sahlström & Jaakko Tyynelä, 2011. "Foreign vs domestic investors and the post‐announcement drift," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(3), pages 220-237, June.
- Florence Cavelius, 2009. "Confrontation Systemes De Reporting Et Communication Financiere Des Entreprises Cotees Grace A Une Mesure De Leur Qualite," Post-Print halshs-00459355, HAL.
- Neenu C & T Mohamed Nishad, 2022. "Behavior of Financial Markets Around News Announcements: A Review Based on Bibliometric Analysis of Scientific Fields," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 14(2), pages 143-172, December.
- Ikizlerli, Deniz & Holmes, Phil & Anderson, Keith, 2019. "The response of different investor types to macroeconomic news," Journal of Multinational Financial Management, Elsevier, vol. 50(C), pages 13-28.
- Danny Lo, 2015. "Essays in Market Microstructure and Investor Trading," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2015, January-A.
- Danny Lo, 2015. "Essays in Market Microstructure and Investor Trading," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 22, July-Dece.
- Chen, Zhijuan & Lin, William T. & Ma, Changfeng & Tsai, Shih-Chuan, 2014. "Liquidity provisions by individual investor trading prior to dividend announcements: Evidence from Taiwan," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 358-374.
- Jennifer Francis & Ryan Lafond & Per Olsson & Katherine Schipper, 2007. "Information Uncertainty and Post‐Earnings‐Announcement‐Drift," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(3‐4), pages 403-433, April.
- Eom, Yunsung & Hahn, Jaehoon & Sohn, Wook, 2019. "Individual investors and post-earnings-announcement drift: Evidence from Korea," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 379-398.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, October.
- David Hirshleifer, 2001.
"Investor Psychology and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
- Hirshleifer, David, 2001. "Investor Psychology and Asset Pricing," MPRA Paper 5300, University Library of Munich, Germany.
- S. P. Kothari & Charles Wasley, 2019. "Commemorating the 50‐Year Anniversary of Ball and Brown (1968): The Evolution of Capital Market Research over the Past 50 Years," Journal of Accounting Research, Wiley Blackwell, vol. 57(5), pages 1117-1159, December.
- Itzhak Venezia, 2018. "Lecture Notes in Behavioral Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10751, August.
- Terrance Odean., 1996.
"Volume, Volatility, Price and Profit When All Trader Are Above Average,"
Research Program in Finance Working Papers
RPF-266, University of California at Berkeley.
- Terrance Odean, 1998. "Volume, Volatility, Price and Profit When All Traders Are Above Average," Finance 9803001, University Library of Munich, Germany.
- Markus Glaser & Martin Weber, 2007.
"Overconfidence and trading volume,"
The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(1), pages 1-36, June.
- Markus Glaser & Martin Weber, 1990. "Overconfidence and trading volume," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(1), pages 1-36, January.
- Glaser, Markus & Weber, Martin, 2003. "Overconfidence and trading volume," Papers 03-07, Sonderforschungsbreich 504.
- Glaser, Markus & Weber, Martin, 2005. "Overconfidence and Trading Volume," SIFR Research Report Series 40, Institute for Financial Research.
- Glaser, Markus & Weber, Martin, 2003. "Overconfidence and Trading Volume," Sonderforschungsbereich 504 Publications 03-07, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Weber, Martin & Glaser, Markus, 2003. "Overconfidence and Trading Volume," CEPR Discussion Papers 3941, C.E.P.R. Discussion Papers.
- Schneider, Julian & Oehler, Andreas, 2021. "Competition for visibility: When do (FX) signal providers employ lotteries?," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
- Fargher, Neil & Wee, Marvin, 2019. "The impact of Ball and Brown (1968) on generations of research," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 55-72.
- Glaser, Markus & Nöth, Markus & Weber, Martin, 2003.
"Behavioral finance,"
Papers
03-14, Sonderforschungsbreich 504.
- Glaser, Markus & Nöth, Markus & Weber, Martin, 2003. "Behavioral Finance," Sonderforschungsbereich 504 Publications 03-14, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Anders Ekholm, 2006. "How Do Different Types of Investors React to New Earnings Information?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(1‐2), pages 127-144, January.
- Tai-Yuen Hon & Massoud Moslehpour & Kai-Yin Woo, 2021. "Review on Behavioral Finance with Empirical Evidence," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(4), pages 15-41, December.
- David Hirshleifer & James N. Myers & Linda A. Myers & Siew Hong Teoh, 2004. "Do Individual Investors Drive Post-Earnings Announcement Drift? Direct Evidence from Personal Trades," Finance 0412003, University Library of Munich, Germany.
- Barber, Brad M. & Odean, Terrance, 2013. "The Behavior of Individual Investors," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1533-1570, Elsevier.
- Soleman Alsabban & Omar Alarfaj, 2020. "An Empirical Analysis of Behavioral Finance in the Saudi Stock Market: Evidence of Overconfidence Behavior," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 73-86.
- Hannu, Schadewitz, 1997. "Financial and nonfinancial information in interim reports: Determinants and implications," MPRA Paper 44292, University Library of Munich, Germany.
- Pereira Reichhardt, Joaquín & Iqbal, Tabassum, 2014. "Investment Decisions: Are we fully-Rational?," MPRA Paper 57686, University Library of Munich, Germany.
- Kenneth Yung & Yen-Chih Liu, 2009. "Implications of futures trading volume: Hedgers versus speculators," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 318-337, December.
- Piet Eichholtz & Erkan Yönder, 2015. "CEO Overconfidence, REIT Investment Activity and Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 139-162, March.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jbfnac:v:33:y:2006:i:1-2:p:145-178. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.