Individual investors and post-earnings-announcement drift: Evidence from Korea

被引：14
|
作者：
Eom, Yunsung [1 ]
Hahn, Jaehoon [2 ]
Sohn, Wook [3 ]
机构：
[1] Hansung Univ, Div Management, Seoul, South Korea
[2] Yonsei Univ, Sch Business, 50 Yonsei Ro, Seoul, South Korea
[3] KDI Sch Publ Policy & Management, Seoul, South Korea
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2019年 / 53卷
关键词：
Post-earnings-announcement drift; Market efficiency; Underreaction; Individual investors; STOCK RETURNS; TRADE SIZE; BEHAVIOR; PERFORMANCE; NEWS;
D O I：
10.1016/j.pacfin.2018.12.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper presents empirical evidence supporting the hypothesis that individual investors' news-contrarian trading behavior drives post-earnings-announcement drift (PEAD). We find that after the announcement, individuals tend to trade in the opposite direction to earnings surprise, which impedes a full price response to earnings news, leading to under-reaction and PEAD. Moreover, we find that PEAD exists only for those stocks that individuals trade in the opposite direction to earnings news, and that the magnitudes of PEAD are greater for those stocks that are more intensely sold (for positive earnings surprise) and bought (for negative earnings surprise) by individuals.
引用
收藏
页码：379 / 398
页数：20
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