A3 Vertaisarvioitu kirjan tai muun kokoomateoksen osa
Impact of investors´ trading activity to post-earnings-announcement drift
Tekijät: Vieru M, Perttunen J, Schadewitz H
Toimittaja: Laitinen EK, Laitinen T
Painos: Acta Wasaensia no 143
Kustantaja: Vaasa: Yliopistopaino
Julkaisuvuosi: 2005
Kokoomateoksen nimi: Contributions to Accounting, Finance, and Management Science
Sarjan nimi: Acta Wasaensia
Numero sarjassa: 143
ISBN: 952-476-098-3
Verkko-osoite: http://www.uva.fi/materiaali/pdf/isbn_952-476-098-3.pdf
This study focuses on whether post-earnings-announcement drift is associated with the trading activity of non-institutional trading in an emerging market. We separate the stock trading activity of Finnish households into five trading classes. Data is all trades executed on the Helsinki Stock Exchange during 1996-2000. Results show that when earnings news contains only moderate price effects no clear evidence is found to show that trading by any of the specified non-institutional trading activity classes is particularly associated with price changes. However, excess buying of passive and intermediate individual investors after extremely negative earnings news seems to intensify the negative post-earnings returns. Also for extremely positive earnings news trading by individuals seems to be related to the post-earnings returns. In that sense post-earnings retruns are related with the trading of non-institutional activity classes. However, the net trading of non-institutional investors with different trading activities on the announcement day does not affect the correlation between earnings surprises and subsequent returns. This suggests that the net trading of non-institutional investors´ trading activity on the announcement event does not predict subsequent returns.