Do institutional investors exploit the post-earnings announcement drift?

被引：158
|
作者：
Ke, B [1 ]
Ramalingegowda, S [1 ]
机构：
[1] Penn State Univ, Smeal Coll Business Adm, Dept Accounting, University Pk, PA 16802 USA
来源：
JOURNAL OF ACCOUNTING & ECONOMICS | 2005年 / 39卷 / 01期
关键词：
post-earnings announcement drift; institutional investors; market efficiency;
D O I：
10.1016/j.jacceco.2004.02.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We provide evidence that transient institutional investors (i.e., those actively trading to maximize short term profits) trade to exploit the post-earnings announcement drift (PEAD). We estimate that transient institutions' arbitrage generates an abnormal return of 5.1% (or 22% annualized) after transaction costs. In addition, their arbitrage trades accelerate the speed that stock prices reflect the implications of current earnings for future earnings. However, transient institutions trade less aggressively to exploit PEAD in firms with high transaction costs. Our results contribute to understanding the role of transient institutional investors in explaining the persistence of PEAD. (c) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码：25 / 53
页数：29
相关论文
共 50 条
  • [1] The role of institutional investors in post-earnings announcement drift: evidence from China
    Cai, Guilong
    Lin, Bingxuan
    Wei, Minghai
    Xu, Xiaowei
    [J]. ACCOUNTING AND BUSINESS RESEARCH, 2021, 51 (02) : 206 - 236
  • [2] Earnings Management and the Post-earnings Announcement Drift
    Louis, Henock
    Sun, Amy X.
    [J]. FINANCIAL MANAGEMENT, 2011, 40 (03) : 591 - 621
  • [3] Post-Earnings Announcement Drift in Greece
    Forbes, William
    Giannopoulos, George
    [J]. REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES, 2015, 18 (03)
  • [4] Jump on the Post-Earnings Announcement Drift
    Zhou, Haigang
    Zhu, John Qi
    [J]. FINANCIAL ANALYSTS JOURNAL, 2012, 68 (03) : 63 - 80
  • [5] Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades
    Hirshleifer, David A.
    Myers, James N.
    Myers, Linda A.
    Teoh, Siew Hong
    [J]. ACCOUNTING REVIEW, 2008, 83 (06): : 1521 - 1550
  • [6] Inflation, earnings forecasts, and post-earnings announcement drift
    Sudipta Basu
    Stanimir Markov
    Lakshmanan Shivakumar
    [J]. Review of Accounting Studies, 2010, 15 : 403 - 440
  • [7] Inflation, earnings forecasts, and post-earnings announcement drift
    Basu, Sudipta
    Markov, Stanimir
    Shivakumar, Lakshmanan
    [J]. REVIEW OF ACCOUNTING STUDIES, 2010, 15 (02) : 403 - 440
  • [8] Competitive earnings news and post-earnings announcement drift
    Baker, H. Kent
    Ni, Yang
    Saadi, Samir
    Zhu, Hui
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2019, 63 : 331 - 343
  • [9] Post-earnings announcement drift: Spanish evidence
    Forner, Carlos
    Sanabria, Sonia
    Marhuenda, Joaquin
    [J]. SPANISH ECONOMIC REVIEW, 2009, 11 (03) : 207 - 241
  • [10] Post-Earnings Announcement Drift in Latin America
    Santana, Veronica de Fatima
    Black, Ervin L.
    de Lima, Gerlando Augusto Sampaio Franco
    [J]. RBGN-REVISTA BRASILEIRA DE GESTAO DE NEGOCIOS, 2022, 24 (03): : 472 - 496
12345