TY - JOUR
T1 - Individual investors and post-earnings-announcement drift
T2 - Evidence from Korea
AU - Eom, Yunsung
AU - Hahn, Jaehoon
AU - Sohn, Wook
N1 - Publisher Copyright:
© 2018
Copyright:
Copyright 2018 Elsevier B.V., All rights reserved.
PY - 2019/2
Y1 - 2019/2
N2 - This paper presents empirical evidence supporting the hypothesis that individual investors’ news-contrarian trading behavior drives post-earnings-announcement drift (PEAD). We find that after the announcement, individuals tend to trade in the opposite direction to earnings surprise, which impedes a full price response to earnings news, leading to under-reaction and PEAD. Moreover, we find that PEAD exists only for those stocks that individuals trade in the opposite direction to earnings news, and that the magnitudes of PEAD are greater for those stocks that are more intensely sold (for positive earnings surprise) and bought (for negative earnings surprise) by individuals.
AB - This paper presents empirical evidence supporting the hypothesis that individual investors’ news-contrarian trading behavior drives post-earnings-announcement drift (PEAD). We find that after the announcement, individuals tend to trade in the opposite direction to earnings surprise, which impedes a full price response to earnings news, leading to under-reaction and PEAD. Moreover, we find that PEAD exists only for those stocks that individuals trade in the opposite direction to earnings news, and that the magnitudes of PEAD are greater for those stocks that are more intensely sold (for positive earnings surprise) and bought (for negative earnings surprise) by individuals.
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U2 - 10.1016/j.pacfin.2018.12.002
DO - 10.1016/j.pacfin.2018.12.002
M3 - Article
AN - SCOPUS:85058653666
VL - 53
SP - 379
EP - 398
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
SN - 0927-538X
ER -