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

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References

1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
1991Inferring Trade Direction from Intraday Data3,150 cited
1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
1987Price, trade size, and information in securities markets2,169 cited
1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
1992Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior1,003 cited
1987Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings502 cited
2000Inferring investor behavior: Evidence from TORQ data491 cited
1992Earnings news and small traders480 cited
2000The Accuracy of Trade Classification Rules: Evidence from Nasdaq454 cited
1994An informational efficiency perspective on the post-earnings announcement drift346 cited
1991Evidence on the Possible Underweighting of Earnings-Related Information342 cited
1997A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks314 cited
1997Investor Sophistication and Market Earnings Expectations309 cited
1996

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How naive is the stock market's use of earnings information?

307 cited

1982Empirical anomalies based on unexpected earnings and the importance of risk adjustments292 cited

Cited by

2011Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research*275 cited
2009On the information role of stock recommendation revisions239 cited
2008Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades230 cited
2013Company name fluency, investor recognition, and firm value213 cited
2011Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns206 cited
2010Individual Investor Trading and Return Patterns Around Earnings Announcements179 cited
2011Do Portfolio Distortions Reflect Superior Information or Psychological Biases?166 cited
2009Activist arbitrage: A study of open-ending attempts of closed-end funds158 cited
2015Effects of environmental regulation on actual and expected profitability157 cited
2009Individual Investor Trading and Return Patterns Around Earnings Announcements155 cited
2012Trading as Gambling149 cited
2015Political contributions and analyst behavior147 cited
2010Investor Trading and the Post-Earnings-Announcement Drift135 cited
2014Who Uses Financial Reports and for What Purpose? Evidence from Capital Providers129 cited
2017Media Coverage and IPO Pricing Around the World120 cited
2007Wealth Transfer Effects of Analysts' Misleading Behavior116 cited