Individual investors and post-earnings-announcement drift: Evidence from Korea

Yunsung Eom; Jaehoon Hahn; Wook Sohn

doi:10.1016/j.pacfin.2018.12.002

Individual investors and post-earnings-announcement drift: Evidence from Korea

Yunsung Eom, Jaehoon Hahn, Wook Sohn

Department of Business Administration

Research output: Contribution to journal › Article

1 Citation (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	379-398
Number of pages	20
Journal	Pacific Basin Finance Journal
Volume	53
DOIs	https://doi.org/10.1016/j.pacfin.2018.12.002
Publication status	Published - 2019 Feb 1

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All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

Cite this

Eom, Y., Hahn, J., & Sohn, W. (2019). Individual investors and post-earnings-announcement drift: Evidence from Korea. Pacific Basin Finance Journal, 53, 379-398. https://doi.org/10.1016/j.pacfin.2018.12.002

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10.1016/j.pacfin.2018.12.002