Individual Investor Trading Around Earnings Announcements
Author | : Zhijuan Chen |
Publisher | : |
Total Pages | : 25 |
Release | : 2013 |
ISBN-10 | : OCLC:1310392886 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Individual Investor Trading Around Earnings Announcements written by Zhijuan Chen and published by . This book was released on 2013 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies whether individual investors have information advantage before earnings announcements on an emerging market using a unique data set of TWSE. Consistent with existing research on American market, it is surprising that pre-event individual investor trading is also positively correlated with stock returns on and after earnings announcements dates in Taiwan. However, the sign of correlation between individual investor trading and stock return around earnings announcements shows weak evidence of noise trading rather than information advantage, which is opposite to that of American stock market.