Who Trades Around Earnings Announcements? Evidence from TORQ Data
利用TORQ数据库，研究五类交易者在财报公告前后的日内交易量反应，发现机构在公告后立即活跃，个人投资者初期缓慢但后期交易量超过机构，并验证了意见分歧和投资组合再平衡导致交易量激增的理论。
Abstract: Using TORQ database we investigate the intra-day trading volume reactions to earnings announcements of five trader groups, individuals, institutions, exchange members, program traders, and specialists. The results of this study indicate that institutions are most active in the immediate aftermath of an announcement. Individual investors are slow at the beginning but accumulate heavy volume afterwards and exceed institutional trading volume. We find support for Harris and Raviv (1993) and Admati and Pfleiderer (1988), who respectively argue that divergence of opinion about a public information and portfolio rebalancing cause surges in pre- and post-announcement trading volume. Further we find evidence of swift and aggressive trading by informed and sophisticated institutions in the immediate aftermath of the announcement, and delayed, aggressive trading volume ‘overreaction’ by ‘slow’ and ‘overconfident’ individual investors as documented by Barber and Odean (2000 and 2002) and Daniel et al. (1998). NYSE specialists provide the bulk of the liquidity needs around earnings announcements.