Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades
利用个人交易数据检验个人投资者是否导致盈余公告后漂移，发现个人交易无法解释极端盈余意外对未来异常收益的预测能力，且个人在极端盈余意外后均为净买入，不支持其交易导致漂移。
ABSTRACT: This study tests whether nai¨ve trading by individual investors, or some class of individual investors, causes post-earnings announcement drift (PEAD). Inconsistent with the individual trading hypothesis, individual investor trading fails to subsume any of the power of extreme earnings surprises to predict future abnormal returns. Moreover, individuals are significant net buyers after both negative and positive extreme earnings surprises, consistent with an attention effect, but not with their trades causing PEAD. Finally, we find no indication that trading by individuals explains the concentration of drift at subsequent earnings announcement dates.