Individual Investor Trading and Return Patterns around Earnings Announcements
利用纽交所股票数据，发现个人投资者在盈余公告前后的集中买卖能预测异常收益，其中约一半收益源于私人信息，且个人交易呈现收益和新闻反向模式，可能延缓价格对盈余新闻的调整。
ABSTRACT This paper provides evidence of informed trading by individual investors around earnings announcements using a unique data set of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after earnings announcement dates. We decompose abnormal returns following the event into information and liquidity provision components, and show that about half of the returns can be attributed to private information. We also find that individuals trade in both return‐contrarian and news‐contrarian manners after earnings announcements. The latter behavior has the potential to slow the adjustment of prices to earnings news.