The effect of the summer doldrums on the market reaction to earnings announcements

被引：0
|
作者：
Gaynor, Gregory [1 ]
Morton, Richard [2 ]
机构：
[1] Univ Baltimore, Merrick Sch Business, 1420 N Charles St, Baltimore, MD 21201 USA
[2] Florida State Univ, Coll Business, Tallahassee, FL 32306 USA
来源：
ADVANCES IN ACCOUNTING | 2013年 / 29卷 / 02期
关键词：
Earnings announcements; Noise traders; Sophisticated investors; Online trading; Summer slowdown;
D O I：
10.1016/j.adiac.2013.08.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Hong and Yu ( 2009) document a significant decrease in trading volume and returns during the summer months. Given the tendency of noise traders to buy shares following both positive and negative earnings surprises (Lee, 1992), we hypothesize that reduced trading activity by noise-traders results in less of an earnings announcement premium during the summer. Consistent with our hypothesis, we find lower abnormal returns surrounding summer earnings announcements compared to non-summer announcements. We also find lower abnormal returns in the ten days prior to the announcement, consistent with less front-running by sophisticated investors. Finally, we show that these summer effects are stronger in recent years characterized by more online trading and greater noise trader participation. (C) 2013 Published by Elsevier Ltd.
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页码：195 / 204
页数：10
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