The relationship between individual trading and post-earnings announcement drift
Date Issued
2009
Date
2009
Author(s)
Po, Jung-Ying
Abstract
This study investigates the relationship between individual trading and the post-earnings announcement drift in Taiwan stock market from 1996 to 2005. We examine whether the individual trading prevents the stock price from reflecting the public information and results in the post-earnings announcement drift.he result indicates that the evidence is not sufficient to support the relationship between individual trading and the post-earnings announcement drift. First of all, although the coefficients on individual trading are significant, individual investors trading fails to subsume any of the power of standard unexpected earnings to predict future abnormal returns. In addition, in spite of the ability of standard unexpected earnings to predict the individual trading, in most cases, individuals are significant net sellers, no matter the earnings news is negative or positive. Therefore, it is inconsistent with the individual trading hypothesis, which suggests that the post-earnings announcement drift may result from the trading activity of individuals. Moreover, the result remains similar even for small or low-price corporations
Subjects
post-earnings announcement drift
Type
thesis
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