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

页码：379 / 398

页数：20

共 50 条

[31] Implications of the integral approach to quarterly reporting for the post-earnings-announcement drift
Rangan, S
Sloan, RG
ACCOUNTING REVIEW, 1998, 73 (03): : 353 - 371
[32] Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
Sadka, Ronnie
JOURNAL OF FINANCIAL ECONOMICS, 2006, 80 (02) : 309 - 349
[33] Post-Earnings-Announcement Drift and the Return Predictability of Earnings Levels: One Effect or Two?
Kausar, Asad
MANAGEMENT SCIENCE, 2018, 64 (10) : 4877 - 4892
[34] PEAD.txt: Post-Earnings-Announcement Drift Using Text
Meursault, Vitaly
Liang, Pierre Jinghong
Routledge, Bryan R.
Scanlon, Madeline Marco
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2023, 58 (06) : 2299 - 2326
[35] The Effect of Ex Ante Management Forecast Accuracy on the Post-Earnings-Announcement Drift
Zhang, Li
ACCOUNTING REVIEW, 2012, 87 (05): : 1791 - 1818
[36] Algorithmic Trading and Post-Earnings-Announcement Drift: A Cross-Country Study
Chen, Tao
INTERNATIONAL JOURNAL OF ACCOUNTING, 2023, 58 (01):
[37] POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM - DISCUSSION
MARAIS, ML
JOURNAL OF ACCOUNTING RESEARCH, 1989, 27 : 37 - 48
[38] THE EFFECT OF INDUSTRY HOMOGENEITY ON THE MAGNITUDE OF POST-EARNINGS ANNOUNCEMENT DRIFT: EVIDENCE FROM KOREA
Shin, Heejeong
Kim, Su-In
Park, Sorah
Shin, Hyejeong
ASIAN ACADEMY OF MANAGEMENT JOURNAL OF ACCOUNTING AND FINANCE, 2019, 15 (01): : 107 - 127
[39] Post-earnings announcement drift: Evidence from Turkey
Ahlatcioglu, Aykut
Okay, Nesrin
BORSA ISTANBUL REVIEW, 2021, 21 (01) : 92 - 103
[40] Investor Overreaction to Earnings Surprises and Post-Earnings-Announcement Reversals
Bathke, Allen W., Jr.
Mason, Terry W.
Morton, Richard M.
CONTEMPORARY ACCOUNTING RESEARCH, 2019, 36 (04) : 2069 - 2092

← 1 2 3 4 5 →