The DOI matches its Crossref record; 40 of the 40 references it cites were found in a registry or an index.
Individual Investor Trading and Return Patterns around Earnings Announcements
Abstract
This paper provides evidence of informed trading by individual investors around earnings announcements using a unique data set of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after earnings announcement dates. We decompose abnormal returns following the event into information and liquidity provision components, and show that about half of the returns can be attributed to private information. We also find that individuals trade in both return‐contrarian and news‐contrarian manners after earnings announcements. The latter behavior has the potential to slow the adjustment of prices to earnings news.
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Cites
Risk, Return, and Equilibrium: Empirical Tests
Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
An Empirical Evaluation of Accounting Income Numbers
Ball, R., & Brown, P. (1968) · Journal of Accounting Research · doi:10.2307/2490232 · Cited by 6,361
Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
Barber, B. M., & Odean, T. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00226 · Cited by 3,955
Inferring Trade Direction from Intraday Data
LEE, C. M. C., & READY, M. J. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb02683.x · Cited by 3,147
Evidence of Predictable Behavior of Security Returns
JEGADEESH, N. (1990) · The Journal of Finance · doi:10.1111/j.1540-6261.1990.tb05110.x · Cited by 2,694
Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
Bernard, V. L., & Thomas, J. K. (1989) · Journal of Accounting Research · doi:10.2307/2491062 · Cited by 2,313
Odean, T. (1999) · American Economic Review · doi:10.1257/aer.89.5.1279 · Cited by 2,247
Bernard, V. L., & Thomas, J. K. (1990) · Journal of Accounting and Economics · doi:10.1016/0165-4101(90)90008-r · Cited by 2,008
Fads, Martingales, and Market Efficiency
Lehmann, B. N. (1990) · The Quarterly Journal of Economics · doi:10.2307/2937816 · Cited by 1,568
Trading Volume and Serial Correlation in Stock Returns
Campbell, J. Y., Grossman, S. J., & Wang, J. (1993) · The Quarterly Journal of Economics · doi:10.2307/2118454 · Cited by 1,556
Cited by
Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media
Chen, H., De, P., Hu, Y. (., & Hwang, B.-H. (2014) · Review of Financial Studies · doi:10.1093/rfs/hhu001 · Cited by 1,251
The Behavior of Individual Investors
Barber, B. M., & Odean, T. (2013) · Handbook of the Economics of Finance · doi:10.1016/b978-0-44-459406-8.00022-6 · Cited by 750
Chung, C. Y., Lee, J., & Park, J. (2014) · Asia-Pacific Journal of Financial Studies · doi:10.1111/ajfs.12043 · Cited by 19
Losing is Optional: Retail Option Trading and Earnings Announcement Volatility
de Silva, T., Smith, K., & So, E. C. (2022) · SSRN Electronic Journal · doi:10.2139/ssrn.4050165 · Cited by 16
Metadata
- Authors
- KANIEL, R., LIU, S., SAAR, G., & TITMAN, S.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2012-03-27
- Volume
- 67
- Issue
- 2
- Pages
- 639-680
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3124795352
- Cited by
- 380
- References
- 40
- FWCI
- 32.37
- Type
- journal article
- Language
- en
- Open access
- closed
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- KANIEL, R., LIU, S., SAAR, G., & TITMAN, S. (2012). Individual Investor Trading and Return Patterns around Earnings Announcements. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2012.01727.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
