Informed trading around earnings announcements in Australia

被引：2
|
作者：
Le, Anh [1 ]
Yin, Xiangkang [2 ]
Zhao, Jing [3 ]
机构：
[1] RMIT Univ, Sch Econ Finance & Mkt, Melbourne, Vic, Australia
[2] Deakin Univ, Dept Finance, Geelong, Vic, Australia
[3] La Trobe Univ, Dept Econ & Finance, Bundoora, Vic, Australia
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2019年 / 58卷
关键词：
Earnings announcement; Institutional investor; Superannuation fund; Foreign and domestic investors; Informed trading; INSTITUTIONAL INVESTORS; STOCK RETURNS; PRIVATE INFORMATION; PERFORMANCE; INVESTMENT; NEWS; DISCLOSURE; VALUATION; BEHAVIOR;
D O I：
10.1016/j.pacfin.2019.101216
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates informed trading around earnings announcements in the Australian market from 1997 to 2014. Among six investor groups, only the pre-announcement trading of Domestic Superannuation Funds (DSFs) has a significantly positive relationship with announcement return. This predictive relationship is more pronounced for firms with a poorer informational environment. DSFs are informed of both positive and negative news but they execute their trades earlier if the news is positive. They trade on their superior information concerning upcoming earnings and dividends as well. After announcements, they do not reverse their pre-announcement positions and trade in a news-momentum manner.
引用
收藏
页数：20
相关论文
共 50 条
  • [1] Strategic insider trading around earnings announcements in Australia
    Katselas, Dean
    [J]. ACCOUNTING AND FINANCE, 2020, 60 (04): : 3709 - 3741
  • [2] Informed trading around earnings announcements-Spot, futures, or options?
    Jain, Sonali
    Agarwalla, Sobhesh Kumar
    Varma, Jayanth R.
    Pandey, Ajay
    [J]. JOURNAL OF FUTURES MARKETS, 2019, 39 (05) : 579 - 589
  • [3] Trading Strategies Around Earnings Announcements
    Kadiyala, Padma
    [J]. JOURNAL OF TRADING, 2015, 10 (01): : 21 - 36
  • [4] Informed local trading prior to earnings announcements
    Berry, Thomas
    Gamble, Keith Jacks
    [J]. JOURNAL OF FINANCIAL MARKETS, 2013, 16 (03) : 505 - 525
  • [5] The effect of option transaction costs on informed trading in the options market around earnings announcements
    Govindaraj, Suresh
    Li, Yubin
    Zhao, Chen
    [J]. JOURNAL OF BUSINESS FINANCE & ACCOUNTING, 2020, 47 (5-6) : 615 - 644
  • [6] Earnings announcements, private information, and strategic informed trading
    Cho, Jin-Wan
    [J]. JOURNAL OF FINANCIAL INTERMEDIATION, 2007, 16 (01) : 117 - 149
  • [7] Informed Trading in Corporate Bonds Prior to Earnings Announcements
    Wei, Jason
    Zhou, Xing
    [J]. FINANCIAL MANAGEMENT, 2016, 45 (03) : 641 - 674
  • [8] An empirical analysis of algorithmic trading around earnings announcements
    Frino, Alex
    Prodromou, Tina
    Wang, George H. K.
    Westerholm, P. Joakim
    Zheng, Hui
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2017, 45 : 34 - 51
  • [9] Regulated and unregulated insider trading around earnings announcements
    Juha-Pekka Kallunki
    Henrik Nilsson
    Janne Peltoniemi
    [J]. European Journal of Law and Economics, 2009, 27 : 285 - 308
  • [10] Market uncertainty and trading volume around earnings announcements
    Choi, Hae Mi
    [J]. FINANCE RESEARCH LETTERS, 2019, 30 : 14 - 22
12345