Investors' Trade Size and Trading Responses around Earnings Announcements: An Empirical Investigation
通过分析小交易者和大交易者的交易活动，发现小交易者的盈余预期符合季节性随机游走模型，其交易反应与预测误差正相关，尤其在信息环境较差的公司中更为明显。
Prior research suggests that the earnings expectations of a segment of the market can be described by the seasonal random-walk model. Prior research also provides evidence that less wealthy and less informed investors tend to make smaller trades (small traders) than wealthier and betterinformed investors (large traders). I hypothesize that it is the earnings expectations of small traders that are associated with predictions from the seasonal random-walk model. By directly analyzing the trading activities of small and large traders, this study provides evidence that is largely consistent with the hypotheses. Specifically, small traders' trading response around earnings announcements is increasing in the magnitude of seasonal random-walk forecast errors, even after controlling for absolute analyst forecast errors, contemporaneous price changes, and market-wide trading. Supplementary analysis reveals that this effect is largely confined to firms with relatively impoverished information environments (i.e., smaller firms and firms with little to moderate analyst following).