Earnings expectations, investor trade size, and anomalous returns around earnings announcements

Journal of Financial Economics

Volumn 77, Issue 2, 2005, Pages 289-319

  Battalio, Robert H ^a   Mendenhall, Richard R ^a  

^a UNIVERSITY OF NOTRE DAME   (United States)

Author keywords

Biased expectations; Earnings expectations; Investor clienteles

Indexed keywords

EID: 22144448164     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2004.08.002     Document Type: Article

References (40)

1. J. Abarbanell V. Bernard Tests of analysts' overreaction/underreaction to earnings information as an explanation for anomalous stock price behavior Journal of Finance 47 1992 1181-1207
2. J. Affleck-Graves R.R. Mendenhall The relation between the value line enigma and post-earnings-announcement drift Journal of Financial Economics 31 1992 75-96
3. R. Ball E. Bartov How naive is the stock market's use of earnings information? Journal of Accounting and Economics 21 1996 319-337
4. R. Ball P. Brown An empirical evaluation of accounting numbers Journal of Accounting Research 6 1968 159-178
5. M. Barclay W. Christie J. Harris S. Kandel P. Schultz The effect of Nasdaq market reform on trading costs and depths Journal of Finance 54 1999 1-34
6. R. Battalio B. Hatch R. Jennings SOES trading and market volatility Journal of Financial and Quantitative Analysis 32 1997 225-238
7. V.L. Bernard J.K. Thomas Post-earnings-announcement drift, delayed price response or risk premium? Journal of Accounting Research 27 1989 1-36
8. V.L. Bernard J.K. Thomas Evidence that stock prices do not fully reflect the implications of current earnings for future earnings Journal of Accounting and Economics 13 1990 305-340
9. H. Bessembinder H. Kaufman A comparison of trade execution costs for NYSE and NASDAQ-listed stocks Journal of Financial and Quantitative Analysis 32 1997 287-310
10. N. Bhattacharya Investors' trade size and trading responses around earnings announcements: An empirical investigation The Accounting Review 76 2001 221-244
11. R. Bhushan An informational efficiency perspective on the post-earnings announcement drift Journal of Accounting and Economics 18 1994 45-65
12. M. Blume M. Goldstein Quotes, order flow, and price discovery Journal of Finance 52 1997 221-244
13. R.M. Brooks T. Su A simple cost reduction strategy for liquidity traders: Trade at the opening Journal of Financial and Quantitative Analysis 32 1997 525-540
14. L.D. Brown R.L. Hagerman P.A. Griffin M.E. Zmijewski Security analyst superiority to univariate time-series models in forecasting quarterly earnings Journal of Accounting and Economics 9 1987 61-87
15. D. Easley M. O'Hara Price, trade size, and information in securities markets Journal of Financial Economics 19 1987 60-69
16. K. Ellis R. Michaely M. O'Hara The accuracy of trade classification rules: Evidence from Nasdaq Journal of Financial and Quantitative Analysis 35 2000 529-551
17. E.F. Fama J.D. MacBeth Risk, return, and equilibrium: Empirical tests Journal of Political Economy 81 1973 607-636
18. T. Finucane A direct test of methods for inferring trade direction from intra-day data Journal of Financial and Quantitative Analysis 35 2000 553-576
19. G. Foster Quarterly accounting data: Time-series properties and predictive-ability results The Accounting Review 52 1977 1-21
20. G. Foster C. Olsen T. Shevlin Earnings releases, anomalies, and the behavior of security returns The Accounting Review 59 1984 574-603
21. J. Greene S. Watts Price discovery on the NYSE and the Nasdaq: The case of overnight and daytime news releases Financial Management 25 1996 19-42
22. J. Hand Did firms undertake debt-equity swaps for an accounting paper profit or true financial gain? The Accounting Review 64 1989 587-623
23. J. Harris P. Schultz The importance of firm quotes and rapid executions: evidence from the January 1994 SOES rules change Journal of Financial Economics 45 1997 135-166
24. J. Harris P. Schultz The trading profits of SOES bandits Journal of Financial Economics 50 1998 39-62
25. Hirshleifer, D., Myers, J., Myers, L., Teoh, S., 2002. Do individual investors drive post-earnings announcement drift?. Direct evidence from personal trades, Ohio State University working paper.
26. H.A. Latané C.P. Jones Standardized unexpected earnings 1971-1977 Journal of Finance 34 1979 717-724
27. C.M.C. Lee Earnings news and small traders: An intraday analysis Journal of Accounting and Economics 15 1992 265-302
28. C.M.C. Lee B. Radhakrishna Inferring investor behavior: Evidence from TORQ data Journal of Financial Markets 3 2000 183-204
29. C.M.C. Lee M. Ready Inferring trade direction from intraday data Journal of Finance 46 1991 733-746
30. Livnat, J., Mendenhall, R.R., 2003. Why is the post-earnings-announcement drift larger for surprises calculated from analyst forecasts? New York University working paper.
31. A. Madhavan V. Panchapagesan Price discovery in auction markets: A look inside the black box Review of Financial Studies 13 2000 627-658
32. R.R. Mendenhall Evidence on the possible underweighting of earnings information Journal of Accounting Research 29 1991 170-179
33. National Association of Security Dealers, 1988. Adoption of rule amendments - Effective immediately - To prohibit professional trading on SOES, NASD Manual Online.
34. National Association of Security Dealers, 1990. Market makers entry of agency orders into SOES, effective July 27, 1990, NASD Manual Online.
35. National Association of Security Dealers, 1991. SEC approves rules to curb SOES abuse, NASD Manual Online.
36. National Association of Security Dealers, 1994. SEC approves new small order execution system rules, NASD Manual Online.
37. E. Odders-White On the occurrence and consequences of inaccurate trade classification Journal of Financial Markets 3 2000 259-286
38. R.J. Rendleman C.P. Jones H.A. Latané Empirical anomalies based on unexpected earnings and the importance of risk adjustment Journal of Financial Economics 10 1982 269-287
39. H. Varian Differences in opinion in financial markets In: C. Stone Ed. Financial Risk: Theory, Evidence, and Implications 1986 Kluwer Academic Publishers Boston, MA 3-37
40. B. Walther Investor sophistication and market earnings expectations Journal of Accounting Research 35 1997 157-179