메뉴 건너뛰기




Volumn 83, Issue 6, 2008, Pages 1521-1550

Do individual investors cause post-earnings announcement drift? Direct evidence from personal trades

Author keywords

Individual investors; Investor sophistication; Market efficiency; Post earnings announcement drift

Indexed keywords


EID: 59049092414     PISSN: 00014826     EISSN: None     Source Type: Journal    
DOI: 10.2308/accr.2008.83.6.1521     Document Type: Article
Times cited : (155)

References (64)
  • 1
    • 3943054718 scopus 로고    scopus 로고
    • Differential response of small versus large investors to 10-K filings on EDGAR
    • Asthana, S., S. Balsam, and S. Sankaraguruswamy. 2004. Differential response of small versus large investors to 10-K filings on EDGAR. The Accounting Review 79: 571-589.
    • (2004) The Accounting Review , vol.79 , pp. 571-589
    • Asthana, S.1    Balsam, S.2    Sankaraguruswamy, S.3
  • 3
    • 0030170359 scopus 로고    scopus 로고
    • How naive is the stock market's use of earnings information?
    • -, and E. Bartov. 1996. How naive is the stock market's use of earnings information? Journal of Accounting and Economics 21: 319-337.
    • (1996) Journal of Accounting and Economics , vol.21 , pp. 319-337
    • Ball, R.1    Bartov, E.2
  • 4
    • 0036026427 scopus 로고    scopus 로고
    • Accruals management, investor sophistication, and equity valuation: Evidence from 10-Q filings
    • Balsam, S., E. Bartov, and C. Marquardt. 2002. Accruals management, investor sophistication, and equity valuation: Evidence from 10-Q filings. Journal of Accounting Research 40: 987-1012.
    • (2002) Journal of Accounting Research , vol.40 , pp. 987-1012
    • Balsam, S.1    Bartov, E.2    Marquardt, C.3
  • 5
    • 0037497348 scopus 로고    scopus 로고
    • Trading is hazardous to your wealth: The common stock investment performance of individual investors
    • Barber, B., and T. Odean. 2000. Trading is hazardous to your wealth: The common stock investment performance of individual investors. The Journal of Finance 55: 773-806.
    • (2000) The Journal of Finance , vol.55 , pp. 773-806
    • Barber, B.1    Odean, T.2
  • 6
    • 38049051830 scopus 로고    scopus 로고
    • All that glitters: The effect of attention on the buying behavior of individual and institutional investors
    • -, and -. 2008. All that glitters: The effect of attention on the buying behavior of individual and institutional investors. Review of Financial Studies 21: 785-818.
    • (2008) Review of Financial Studies , vol.21 , pp. 785-818
    • Barber, B.1    Odean, T.2
  • 8
    • 0000820008 scopus 로고
    • Stealth trading and volatility: Which trades move prices?
    • Barclay, M., and J. Warner. 1993. Stealth trading and volatility: Which trades move prices? Journal of Financial Economics 34: 281-305.
    • (1993) Journal of Financial Economics , vol.34 , pp. 281-305
    • Barclay, M.1    Warner, J.2
  • 9
    • 0034380942 scopus 로고    scopus 로고
    • Investor sophistication and patterns in stock returns after earnings announcements
    • Bartov, E., I. Krinsky, and S. Radhakrishnan. 2000. Investor sophistication and patterns in stock returns after earnings announcements. The Accounting Review 75: 43-63.
    • (2000) The Accounting Review , vol.75 , pp. 43-63
    • Bartov, E.1    Krinsky, I.2    Radhakrishnan, S.3
  • 10
    • 22144448164 scopus 로고    scopus 로고
    • Earnings expectations, investor trade size, and anomalous returns around earnings announcements
    • Battalio, R., and R. Mendenhall. 2005. Earnings expectations, investor trade size, and anomalous returns around earnings announcements. Journal of Financial Economics 77: 289-320.
    • (2005) Journal of Financial Economics , vol.77 , pp. 289-320
    • Battalio, R.1    Mendenhall, R.2
  • 11
    • 0001819765 scopus 로고
    • Post-earnings-announcement drift: Delayed price response or risk premium?
    • Bernard, V. L., and J. K. Thomas. 1989. Post-earnings-announcement drift: Delayed price response or risk premium? Journal of Accounting Research 27: 1-48.
    • (1989) Journal of Accounting Research , vol.27 , pp. 1-48
    • Bernard, V.L.1    Thomas, J.K.2
  • 12
    • 0000909526 scopus 로고
    • Evidence that stock prices do not fully reflect the implications of current earnings for future earnings
    • -, and -. 1990. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics 13: 305-340.
    • (1990) Journal of Accounting and Economics , vol.13 , pp. 305-340
    • Bernard, V.L.1    Thomas, J.K.2
  • 13
    • 0002232841 scopus 로고    scopus 로고
    • Accounting-based stock price anomalies: Separating market inefficiencies from risk
    • -, -, and J. Wahlen. 1997. Accounting-based stock price anomalies: Separating market inefficiencies from risk. Contemporary Accounting Research 14: 89-136.
    • (1997) Contemporary Accounting Research , vol.14 , pp. 89-136
    • Bernard, V.L.1    Thomas, J.K.2    Wahlen, J.3
  • 15
    • 0035531888 scopus 로고    scopus 로고
    • Investors' trade size and trading responses around earnings announcements: An empirical investigation
    • Bhattacharya, N. 2001. Investors' trade size and trading responses around earnings announcements: An empirical investigation. The Accounting Review 76: 221-244.
    • (2001) The Accounting Review , vol.76 , pp. 221-244
    • Bhattacharya, N.1
  • 16
    • 0043076246 scopus 로고    scopus 로고
    • Sophistication- related differences in investors' models of the relative accuracy of analysts' forecast revisions
    • Bonner, S. E., B. R. Walther, and S. M. Young. 2003. Sophistication- related differences in investors' models of the relative accuracy of analysts' forecast revisions. The Accounting Review 78: 679-706.
    • (2003) The Accounting Review , vol.78 , pp. 679-706
    • Bonner, S.E.1    Walther, B.R.2    Young, S.M.3
  • 19
    • 21244463268 scopus 로고    scopus 로고
    • Working paper, Harvard Business School; University of California, Irvine; and University of Michigan
    • Coval, J. D., D. Hirshleifer, and T. Shumway. 2005. Can individual investors beat the market? Working paper, Harvard Business School; University of California, Irvine; and University of Michigan.
    • (2005) Can individual investors beat the market
    • Coval, J.D.1    Hirshleifer, D.2    Shumway, T.3
  • 20
    • 0002438231 scopus 로고
    • Information value and investor wealth: The case of earnings announcements
    • Cready, W. M. 1988. Information value and investor wealth: The case of earnings announcements. Journal of Accounting Research 1: 1-27.
    • (1988) Journal of Accounting Research , vol.1 , pp. 1-27
    • Cready, W.M.1
  • 21
    • 8744258405 scopus 로고    scopus 로고
    • Investor psychology and security market under- and over-reactions
    • Daniel, K. D., D. Hirshleifer, and A. Subrahmanyam. 1998. Investor psychology and security market under- and over-reactions. The Journal of Finance 53: 1839-1886.
    • (1998) The Journal of Finance , vol.53 , pp. 1839-1886
    • Daniel, K.D.1    Hirshleifer, D.2    Subrahmanyam, A.3
  • 24
  • 25
    • 0030637317 scopus 로고    scopus 로고
    • Returns to contrarian investment strategies: Tests of naïve expectations hypotheses
    • Dechow, P. M., and R. G. Sloan. 1997. Returns to contrarian investment strategies: Tests of naïve expectations hypotheses. Journal of Financial Economics 41: 3-27.
    • (1997) Journal of Financial Economics , vol.41 , pp. 3-27
    • Dechow, P.M.1    Sloan, R.G.2
  • 29
    • 0346207692 scopus 로고    scopus 로고
    • Market efficiency, long-term returns, and behavioral finance
    • Fama, E. F. 1998. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49: 283-306.
    • (1998) Journal of Financial Economics , vol.49 , pp. 283-306
    • Fama, E.F.1
  • 31
    • 0001085867 scopus 로고
    • Earnings releases, anomalies, and the behavior of security returns
    • Foster, G., C. Olsen, and T. Shevlin. 1984. Earnings releases, anomalies, and the behavior of security returns. The Accounting Review 59: 574-603.
    • (1984) The Accounting Review , vol.59 , pp. 574-603
    • Foster, G.1    Olsen, C.2    Shevlin, T.3
  • 32
    • 33746832945 scopus 로고    scopus 로고
    • The disposition effect and under-reaction to news
    • Frazzini, A. 2006. The disposition effect and under-reaction to news. The Journal of Finance 61: 2017-2046.
    • (2006) The Journal of Finance , vol.61 , pp. 2017-2046
    • Frazzini, A.1
  • 34
    • 0344585464 scopus 로고    scopus 로고
    • The dynamics of institutional and individual trading
    • Griffin, J., J. Harris, and S. Topaloglu. 2003. The dynamics of institutional and individual trading. The Journal of Finance 58: 2285-2320.
    • (2003) The Journal of Finance , vol.58 , pp. 2285-2320
    • Griffin, J.1    Harris, J.2    Topaloglu, S.3
  • 35
    • 0033634041 scopus 로고    scopus 로고
    • The investment behavior and performance of various investor types: A study of Finland's unique data set
    • Grinblatt, M., and M. Keloharju. 2000. The investment behavior and performance of various investor types: A study of Finland's unique data set. Journal of Financial Economics 55: 43-67.
    • (2000) Journal of Financial Economics , vol.55 , pp. 43-67
    • Grinblatt, M.1    Keloharju, M.2
  • 36
    • 0000272993 scopus 로고
    • A test of the extended functional fixation hypothesis
    • Hand, J. R. 1990. A test of the extended functional fixation hypothesis. The Accounting Review 65: 740-763.
    • (1990) The Accounting Review , vol.65 , pp. 740-763
    • Hand, J.R.1
  • 37
    • 0742321678 scopus 로고    scopus 로고
    • Limited attention, information disclosure, and financial reporting
    • Hirshleifer, D., and S. H. Teoh. 2003. Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics 36: 337-386.
    • (2003) Journal of Accounting and Economics , vol.36 , pp. 337-386
    • Hirshleifer, D.1    Teoh, S.H.2
  • 42
    • 0033474987 scopus 로고    scopus 로고
    • Autocorrelation structure of forecast errors from time-series models: Alternative assessments of the causes of post-earnings announcement drift
    • Jacob, J., T. Lys, and J. Sabino. 2000. Autocorrelation structure of forecast errors from time-series models: Alternative assessments of the causes of post-earnings announcement drift. Journal of Accounting and Economics 28: 329-358.
    • (2000) Journal of Accounting and Economics , vol.28 , pp. 329-358
    • Jacob, J.1    Lys, T.2    Sabino, J.3
  • 43
    • 85141101504 scopus 로고
    • Differential interpretation of public signals and trade in speculative markets
    • Kandel, E., and N. D. Pearson. 1995. Differential interpretation of public signals and trade in speculative markets. The Journal of Political Economy 103: 831-872.
    • (1995) The Journal of Political Economy , vol.103 , pp. 831-872
    • Kandel, E.1    Pearson, N.D.2
  • 44
    • 38349164188 scopus 로고    scopus 로고
    • Individual investor trading and stock returns
    • Kaniel, R., G. Saar, and S. Titman. 2008. Individual investor trading and stock returns. The Journal of Finance 63: 273-310.
    • (2008) The Journal of Finance , vol.63 , pp. 273-310
    • Kaniel, R.1    Saar, G.2    Titman, S.3
  • 45
    • 13844275884 scopus 로고    scopus 로고
    • Do institutional investors exploit the post-earnings announcement drift?
    • Ke, B., and S. Ramalingegowda. 2005. Do institutional investors exploit the post-earnings announcement drift? Journal of Accounting and Economics 39: 25-53.
    • (2005) Journal of Accounting and Economics , vol.39 , pp. 25-53
    • Ke, B.1    Ramalingegowda, S.2
  • 47
    • 0013020712 scopus 로고    scopus 로고
    • Can the market add and subtract? Mispricing in tech stock carve-outs
    • Lamont, O., and R. Thaler. 2003. Can the market add and subtract? Mispricing in tech stock carve-outs. The Journal of Political Economy 111: 227-268.
    • (2003) The Journal of Political Economy , vol.111 , pp. 227-268
    • Lamont, O.1    Thaler, R.2
  • 48
    • 0000516983 scopus 로고
    • Heads I win, tails it's chance: The illusion of control as a function of the sequence of outcomes in a purely chance task
    • Langer, E., and J. Roth. 1975. Heads I win, tails it's chance: The illusion of control as a function of the sequence of outcomes in a purely chance task. Journal of Personality and Social Psychology 32: 951-955.
    • (1975) Journal of Personality and Social Psychology , vol.32 , pp. 951-955
    • Langer, E.1    Roth, J.2
  • 49
    • 84977736029 scopus 로고
    • Investor sentiment and the closed-end fund puzzle
    • Lee, C. M. C., A. Shleifer, and R. Thaler. 1991. Investor sentiment and the closed-end fund puzzle. The Journal of Finance 46: 75-109.
    • (1991) The Journal of Finance , vol.46 , pp. 75-109
    • Lee, C.M.C.1    Shleifer, A.2    Thaler, R.3
  • 52
    • 0001208616 scopus 로고    scopus 로고
    • -. 2001. Market efficiency and accounting research: A discussion of Capital market research in accounting by S. P. Kothari. Journal of Accounting and Economics 31: 233-253.
    • -. 2001. Market efficiency and accounting research: A discussion of "Capital market research in accounting" by S. P. Kothari. Journal of Accounting and Economics 31: 233-253.
  • 53
    • 33746863357 scopus 로고    scopus 로고
    • Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs
    • Mashruwala, C., S. Rajgopal, and T. Shevlin. 2006. Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs. Journal of Accounting and Economics 42: 3-33.
    • (2006) Journal of Accounting and Economics , vol.42 , pp. 3-33
    • Mashruwala, C.1    Rajgopal, S.2    Shevlin, T.3
  • 54
    • 15744394806 scopus 로고    scopus 로고
    • Arbitrage risk and post-earnings-announcement drift
    • Mendenhall, R. 2004. Arbitrage risk and post-earnings-announcement drift. Journal of Business 77: 875-894.
    • (2004) Journal of Business , vol.77 , pp. 875-894
    • Mendenhall, R.1
  • 56
    • 0040036183 scopus 로고    scopus 로고
    • Investment decisions depend on portfolio disclosures
    • Musto, D. 1999. Investment decisions depend on portfolio disclosures. The Journal of Finance 54: 935-952.
    • (1999) The Journal of Finance , vol.54 , pp. 935-952
    • Musto, D.1
  • 57
    • 42149152934 scopus 로고    scopus 로고
    • Implications of transaction costs for post-earnings announcement drift
    • Ng, J., T. O. Rusticus, and R. S. Verdi. 2008. Implications of transaction costs for post-earnings announcement drift. Journal of Accounting Research 46: 1-35.
    • (2008) Journal of Accounting Research , vol.46 , pp. 1-35
    • Ng, J.1    Rusticus, T.O.2    Verdi, R.S.3
  • 58
    • 0001242340 scopus 로고    scopus 로고
    • Do investors trade too much?
    • Odean, T. 1999. Do investors trade too much? The American Economic Review 89: 1279-1298.
    • (1999) The American Economic Review , vol.89 , pp. 1279-1298
    • Odean, T.1
  • 59
    • 0001352492 scopus 로고
    • Accounting earnings announcements, institutional investor concentration, and common stock returns
    • Potter, G. 1992. Accounting earnings announcements, institutional investor concentration, and common stock returns. Journal of Accounting Research 30: 146-155.
    • (1992) Journal of Accounting Research , vol.30 , pp. 146-155
    • Potter, G.1
  • 60
    • 0040291319 scopus 로고    scopus 로고
    • Massively confused investors making conspicuously ignorant choices (MCI-MCIC)
    • Rashes, M. 2001. Massively confused investors making conspicuously ignorant choices (MCI-MCIC). The Journal of Finance 56: 1911-1928.
    • (2001) The Journal of Finance , vol.56 , pp. 1911-1928
    • Rashes, M.1
  • 61
    • 42149154104 scopus 로고    scopus 로고
    • Securities Industry Association, New York, NY: Securities Industry Association
    • Securities Industry Association. 2002. Securities Industry Fact Book. New York, NY: Securities Industry Association.
    • (2002) Securities Industry Fact Book
  • 64
    • 0039415040 scopus 로고    scopus 로고
    • Investor sophistication and market earnings expectations
    • Walther, B. R. 1997. Investor sophistication and market earnings expectations. Journal of Accounting Research 35: 157-179.
    • (1997) Journal of Accounting Research , vol.35 , pp. 157-179
    • Walther, B.R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.