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Shanthikumar, 2003 - Google Patents

Small and large trades around earnings announcements: Does trading behavior explain post-earnings-announcement drift?

Shanthikumar, 2003

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Document ID
15463358118361171629
Author
Shanthikumar D
Publication year
Publication venue
Available at SSRN 449800

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Snippet

This paper analyzes trade-initiation by small and large traders for one year following earnings announcements and examines the predictive ability of event-time trading for future returns. With earnings surprises based on a seasonal random walk expectations model …
Continue reading at papers.ssrn.com (PDF) (other versions)

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