Foreign vs domestic investors and the post-announcement drift

Purpose - This paper aims to investigate who causes post-announcement drift and whether this drift is observed for various types of news announcements. Design/methodology/approach - Using Finnish share ownership data, the authors examine the trading behavior of foreign and domestic investors during the post-announcement periods of scheduled earnings and unscheduled non-earnings announcements. Findings - The results show that the post-announcement drift exists for both types of news, but only if the news is negative. As a group, foreign investors react first by selling shares of firms reporting negative information. Domestic investors act in the opposite manner. Originality/value - The results imply that the post-announcement drift is a special case of a more general post-disclosure phenomenon and that investor differences (most likely information processing skills) is one likely explanation for its pervasiveness.