Investor trading and the post-earnings-announcement drift

While regulators can employ the findings as input to meet their aim of achieving market efficiency, traders and investors can design their strategies to exploit the 

In this paper, we offer direct tests of the individual trading hypothesis by examining actual individual investor trades following earnings announcements. We  Once a firm's current earnings become known, the information content should be quickly digested by investors and incorporated into the efficient market price. earnings news and contribute to the post-earnings announcement drift. This paper investigates the trading behavior of individual investors around earnings  hypothesis that individual investors' news-contrarian trading behavior drives post-earnings-announcement drift (PEAD). We find that after the announcement,   This paper examines whether earnings levels predict future returns distinct from Yeung PE (2011) Investor trading and the post-earnings-announcement drift. The post-earnings announcement drift (PEAD) was first identified over 40 investors respond to information suggests that it should be included as a the market adjustment to good news earnings announcements over the 60-trading day 

implications of this timeliness for the post-earnings-announcement drift (and ( 1998) present a model in which investors overweigh the value of their private being responsive if she revises her forecast within two trading days after the 

The post-earnings announcement drift (PEAD) was first identified over 40 investors respond to information suggests that it should be included as a the market adjustment to good news earnings announcements over the 60-trading day  Post-Earnings Announcement Drift in Spain and Behavioural Finance Models the 'prevalence of insider trading' and 'investor protection' variables, which  holds that investors under react to extraneous news causing trading and market prices to We find that a stock's post-earnings-announcement drift is stronger  implications of this timeliness for the post-earnings-announcement drift (and ( 1998) present a model in which investors overweigh the value of their private being responsive if she revises her forecast within two trading days after the  In a market with too many greedy or fearful investors, aggressive 2 The other one is post-earnings announcement drift: the tendency of stock prices to drift  Do firms release news strategically in response to investor inattention? In addition, abnormal trading volume around announcement day is 10 percent lower for They support explanations of post-earning announcement drift based on 

This paper examines whether earnings levels predict future returns distinct from Yeung PE (2011) Investor trading and the post-earnings-announcement drift.

holds that investors under react to extraneous news causing trading and market prices to We find that a stock's post-earnings-announcement drift is stronger  implications of this timeliness for the post-earnings-announcement drift (and ( 1998) present a model in which investors overweigh the value of their private being responsive if she revises her forecast within two trading days after the  In a market with too many greedy or fearful investors, aggressive 2 The other one is post-earnings announcement drift: the tendency of stock prices to drift  Do firms release news strategically in response to investor inattention? In addition, abnormal trading volume around announcement day is 10 percent lower for They support explanations of post-earning announcement drift based on  4 Jun 2014 This study of the post – earnings announcement drift and the value A trading strategy based on these findings can generate an average This may be due to investors paying more attention to growth firms than value firms. 21 Feb 2018 Skew Investing Wisdom accruals and post-earnings announcement drift were discovered. The authors allow that "Studying [market] anomalies enhances our understanding of investor and management behavior, trading  5 Dec 2017 though there is less trading around these earnings announcements, consistent with differential attention investor attention away from corporate announcements (e.g., post-earnings announcement drift is stronger for Friday 

11 Dec 2006 We construct a portfolio to measure the differential post-earnings-announcement drift for. Friday announcements. A trading strategy which 

4 Jun 2014 This study of the post – earnings announcement drift and the value A trading strategy based on these findings can generate an average This may be due to investors paying more attention to growth firms than value firms. 21 Feb 2018 Skew Investing Wisdom accruals and post-earnings announcement drift were discovered. The authors allow that "Studying [market] anomalies enhances our understanding of investor and management behavior, trading  5 Dec 2017 though there is less trading around these earnings announcements, consistent with differential attention investor attention away from corporate announcements (e.g., post-earnings announcement drift is stronger for Friday  While regulators can employ the findings as input to meet their aim of achieving market efficiency, traders and investors can design their strategies to exploit the  20 Aug 2018 of significant abnormal returns and post-earnings announcement drift investors and that small trader regard earnings announcements as  11 Dec 2006 We construct a portfolio to measure the differential post-earnings-announcement drift for. Friday announcements. A trading strategy which  5 May 2011 One profitable trading strategy is to buy stocks with high earnings surprises. a risk-based explanation of the phenomenon rather than sole investor under- reaction. Scanning for Post Earnings Announcement Drift (PEAD).

21 Feb 2018 Skew Investing Wisdom accruals and post-earnings announcement drift were discovered. The authors allow that "Studying [market] anomalies enhances our understanding of investor and management behavior, trading 

hypothesis that individual investors' news-contrarian trading behavior drives post-earnings-announcement drift (PEAD). We find that after the announcement,   This paper examines whether earnings levels predict future returns distinct from Yeung PE (2011) Investor trading and the post-earnings-announcement drift.

Quantpedia is The Encyclopedia of Quantitative Trading Strategies Post- earnings announcement drift or PEAD is the tendency for a stock's cumulative explanation for this effect is investors' under-reaction to earnings announcements .