How Do Different Types of Investors React to New Earnings Information?
利用芬兰的完整持股登记数据，研究发现多数投资者在正面盈利意外后更倾向于卖出，在负面盈利意外后更倾向于买入，且年报披露后偏向买入；大型投资者行为相反，差异主要源于过度自信程度不同。
Abstract: The purpose of this study is to investigate how different types of investors react to new earnings information. Using the extremely comprehensive official register of share holdings in Finland, we find that the majority of investors are more likely to sell (buy) stocks in a company after a positive (negative) earnings surprise and that they are biased towards buying after the disclosure of an annual report. Large investors show behaviour opposite to that of the majority of investors. We consider several possible explanations for this heterogeneous investor behaviour, of which differences in investor overconfidence emerges as the strongest candidate.