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Earnings expectations, investor trade size, and anomalous returns around earnings announcements

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  • Battalio, Robert H.
  • Mendenhall, Richard R.

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  • Battalio, Robert H. & Mendenhall, Richard R., 2005. "Earnings expectations, investor trade size, and anomalous returns around earnings announcements," Journal of Financial Economics, Elsevier, vol. 77(2), pages 289-319, August.
    • Handle: RePEc:eee:jfinec:v:77:y:2005:i:2:p:289-319
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    8. Jason T. Greene & Susan G. Watts, 1996. "Price Discovery on the NYSE and the NASDAQ: The case of Overnight Daytime News Releases," Financial Management, Financial Management Association, vol. 25(1), Spring.
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    10. Finucane, Thomas J., 2000. "A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(4), pages 553-576, December.
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