Earnings news and small traders
作者： Charles M.C Lee
DOI: 10.1016/0165-4101(92)90021-S
关键词: Financial economics 、 Earnings 、 Economics
摘要: Abstract This study separates trading volume into buyer- and seller-initiated activities examines the directional reaction in small large trades to different types of earnings news. ‘Good’ (‘bad’) news triggers brief, but intense, buying (selling) trades. However, a persistent period unusually high activity is observed irrespective anomalous proclivity traders buy robust across firm size, volume, expectation models. Several explanations are discussed, although behavior does not seem fully explained by existing theories.
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