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
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