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Author: | Bhattacharya, N. |
Title: | InvestorsĀ“trade size and trading responses around earnings announcements: an empirical investigation |
Journal: | Accounting Review
2001 : APR, VOL. 76:2, p. 221-244 |
Index terms: | Earnings Shares Investment analysis Shareholders |
Language: | eng |
Abstract: | The author hypothesizes that it is the earnings expectations of small traders that are associated with predictions from the seasonal random-walk model. By directly analyzing the trading activities of small and large traders, this study provides evidence that is largely consistent with the hypotheses.Specifically, small traders' trading response around earnings announcements is increasing in the magnitude of seasonal random-walk forecast errors, even after controlling for absolute analyst forecast errors, contemporaneous price changes, and market-wide trading. |
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