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Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift?
16 references·1 citing·41 second hop
Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift? (2003)Small and Large Trades Around Earnings An…A Survey of Behavioral Finance (2015)A Survey of Behavioral FinanceAll That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…How Informed Are Actively Trading Institutional Investors? Evidence from Their Trading Behavior before a Break in a String of Consecutive Earnings Increases (2004)How Informed Are Actively Tra…Do institutional investors exploit the post-earnings announcement drift? (2004)Do institutional investors ex…Rational Markets: Yes or No? The Affirmative Case (2001)Rational Markets: Yes or No? …Investors' Trade Size and Trading Responses around Earnings Announcements: An Empirical Investigation (2001)Investors' Trade Size and Tra…On the occurrence and consequences of inaccurate trade classification (2000)On the occurrence and consequ…Investor Sophistication and Patterns in Stock Returns after Earnings Announcements (2000)Investor Sophistication and P…Inferring investor behavior: Evidence from TORQ data (2000)Inferring investor behavior: …A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Good News for Value Stocks: Further Evidence on Market Efficiency (1997)Good News for Value Stocks: F…Earnings news and small traders (1992)Earnings news and small trade…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…A model of investor sentiment /A model of investor sentiment…Market Behavior of Institutional Investors around Bankruptcy Announcements (2014)Market Behavior of Institutio…Inferring Trade Direction from Intraday Data (1991)Investor Sentiment and the Closed-End Fund Puzzle (1991)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)The Accuracy of Trade Classification Rules: Evidence from Nasdaq (2000)Evidence on the speed of convergence to market efficiency (2005)Stock price reaction to public and private information (2006)An Empirical Evaluation of Accounting Income Numbers (1968)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The Cross-Section of Expected Stock Returns (1992)Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts (2006)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)Short Selling and the Price Discovery Process (2012)Editor's Choice Digesting Anomalies: An Investment ApproachRisk, Return, and Equilibrium: Empirical Tests (1973)Mean reversion in stock prices (1988)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Investor Psychology and Asset Pricing (2001)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? 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this work references cited by second hop

References

  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 2015A Survey of Behavioral Finance1,220 cited
  • 1997Good News for Value Stocks: Further Evidence on Market Efficiency805 cited
  • 2000Investor Sophistication and Patterns in Stock Returns after Earnings Announcements746 cited
  • 2000Inferring investor behavior: Evidence from TORQ data491 cited
  • 1992Earnings news and small traders480 cited
  • 2004Do institutional investors exploit the post-earnings announcement drift?351 cited
  • 2004How Informed Are Actively Trading Institutional Investors? Evidence from Their Trading Behavior before a Break in a String of Consecutive Earnings Increases317 cited
  • 2000On the occurrence and consequences of inaccurate trade classification257 cited

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  • 2001Rational Markets: Yes or No? The Affirmative Case240 cited
  • 2001Investors' Trade Size and Trading Responses around Earnings Announcements: An Empirical Investigation239 cited
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    • 2014Market Behavior of Institutional Investors around Bankruptcy Announcements23 cited