Do Heterogeneous Beliefs Matter to Post‐announcement Informed Trading?
利用全球交易数据，研究发现投资者异质信念会加剧公告后的知情交易，流动性收缩是传导机制，且这种知情交易主导了公告后的收益。
We examine whether heterogeneous beliefs among investors affect post‐announcement informed trading. Using a global transaction‐level dataset, we find that post‐announcement informed trading increases with heterogeneous beliefs developed at the event window. Such an inference survives from several robustness checks. As additional analyses indicate, shrinking liquidity at the earnings announcement serves as a transmission mechanism to rationalize the documented association. Eventually, we reveal that informed trading driven by belief heterogeneity plays a dominant role in explaining post‐announcement returns.