Odd lot trading and earnings announcements

被引：0
|
作者：
Johnson H. [1 ]
Chua A. [1 ]
Zhang T. [2 ]
机构：
[1] College of Business Administration, Kansas State University, 2097 Business Building, Manhattan, 66506, KS
[2] College of Business, Florida State University, 821 Academic Way, Tallahassee, 32306, FL
来源：
Review of Quantitative Finance and Accounting | 2018年 / 51卷 / 2期
关键词：
Earnings announcements; Informed trading; Odd lots;
D O I：
10.1007/s11156-017-0679-0
中图分类号：
学科分类号：
摘要：
This study investigates odd lot trading, both trades and orders, around quarterly earnings announcements to determine whether odd lot traders are informed regarding the information contained in earnings announcements. We find pre-announcement odd lot order imbalances are not positively correlated with post-announcement returns and odd lot traders do not earn excess returns. Portfolios long stocks highly bought by odd lot traders in the pre-announcement period and short stocks highly sold by odd lot traders do not outperform the market. We conclude that odd lot traders are not in possession of earnings announcement information prior to its release to the public. © 2017, Springer Science+Business Media, LLC.
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页码：529 / 551
页数：22
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