Individual investors and post-earnings-announcement drift: Evidence from Korea

被引：15
|
作者：
Eom, Yunsung [1 ]
Hahn, Jaehoon [2 ]
Sohn, Wook [3 ]
机构：
[1] Hansung Univ, Div Management, Seoul, South Korea
[2] Yonsei Univ, Sch Business, 50 Yonsei Ro, Seoul, South Korea
[3] KDI Sch Publ Policy & Management, Seoul, South Korea
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2019年 / 53卷
关键词：
Post-earnings-announcement drift; Market efficiency; Underreaction; Individual investors; STOCK RETURNS; TRADE SIZE; BEHAVIOR; PERFORMANCE; NEWS;
D O I：
10.1016/j.pacfin.2018.12.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper presents empirical evidence supporting the hypothesis that individual investors' news-contrarian trading behavior drives post-earnings-announcement drift (PEAD). We find that after the announcement, individuals tend to trade in the opposite direction to earnings surprise, which impedes a full price response to earnings news, leading to under-reaction and PEAD. Moreover, we find that PEAD exists only for those stocks that individuals trade in the opposite direction to earnings news, and that the magnitudes of PEAD are greater for those stocks that are more intensely sold (for positive earnings surprise) and bought (for negative earnings surprise) by individuals.
引用
收藏
页码：379 / 398
页数：20
相关论文
共 50 条
  • [41] Investor Overreaction to Earnings Surprises and Post-Earnings-Announcement Reversals
    Bathke, Allen W., Jr.
    Mason, Terry W.
    Morton, Richard M.
    CONTEMPORARY ACCOUNTING RESEARCH, 2019, 36 (04) : 2069 - 2092
  • [42] Do institutional investors exploit the post-earnings announcement drift?
    Ke, B
    Ramalingegowda, S
    JOURNAL OF ACCOUNTING & ECONOMICS, 2005, 39 (01): : 25 - 53
  • [43] Post-earnings -announcement-drift and 52-week high: Evidence from Korea
    Goh, Jihoon
    Jeon, Byoung-Hyun
    PACIFIC-BASIN FINANCE JOURNAL, 2017, 44 : 150 - 159
  • [44] Post-earnings announcement drift: Spanish evidence
    Forner, Carlos
    Sanabria, Sonia
    Marhuenda, Joaquin
    SPANISH ECONOMIC REVIEW, 2009, 11 (03) : 207 - 241
  • [45] Capturing dynamics of post-earnings-announcement drift using a genetic algorithm-optimized XGBoost
    Ye, Zhengxin Joseph
    Schuller, Bjorn W.
    EXPERT SYSTEMS WITH APPLICATIONS, 2021, 177
  • [46] Heterogeneous investor attention and post earnings announcement drift: Evidence from China
    Chen, Xing
    Diao, Xundi
    Wu, Chongfeng
    ECONOMIC MODELLING, 2022, 110
  • [47] Media heterogeneity and post-earnings announcement drift: evidence from China
    Guo, Ye
    Huang, Mengqi
    ACCOUNTING AND FINANCE, 2019, 59 (05): : 3223 - 3252
  • [48] Does post-earnings-announcement drift in stock prices reflect a market inefficiency? A stochastic dominance approach
    Bernard V.L.
    Seyhun H.N.
    Review of Quantitative Finance and Accounting, 1997, 9 (1) : 17 - 34
  • [49] Earnings Management and the Post-earnings Announcement Drift
    Louis, Henock
    Sun, Amy X.
    FINANCIAL MANAGEMENT, 2011, 40 (03) : 591 - 621
  • [50] Do foreign investors mitigate anchoring bias in stock market? Evidence based on post-earnings announcement drift
    Shin, Heejeong
    Park, Sorah
    PACIFIC-BASIN FINANCE JOURNAL, 2018, 48 : 224 - 240
12345