Do institutional investors exploit the post-earnings announcement drift?

By Bin Ke, Santhosh Ramalingegowda. 2005

347 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/02c2b0e250ede3e4ddb269f22369884e4384b0a3

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Citations in the corpus

Caught on tape: Institutional trading, stock returns, and earnings announcements (2009, background): “10 Kraus and Stoll (1972), Chan and Lakonishok (1993), Keim and Madhavan (1995), and Saar (2001) make similar arguments for asymmetry in the price impacts of block trades.”
Investor Competition Over Information and the Pricing of Information Asymmetry (2011, positive): “Ke and Petroni (2004) and Ke and Ramalingegowda (2005) find that transient institutional investors (i.e., institutional investors who hold small stakes in numerous firms and trade frequently in and out of stocks) trade on information to make profitable trades.”
Investor Trading and the Post Earnings Announcement Drift (2011, positive): “…and Thomas 1989; 1990), a subset of naïve investors trading contrary to earnings news (Hirshleifer et al. 2008), other complex short- and long-term trading patterns by investors (Bartov et al. 2000; Ke and Ramalingegowda 2005), and mismeasurement of risk-adjusted returns (Ball 1992; Kothari 2001).”
Local institutional investors, information asymmetries, and equity returns (2010, background): “Several studies find that short-term institutional investors are better informed than long-term institutional investors and argue that institutional investors’ investment horizons reflect their information advantage (Ke and Ramalingegowda, 2005; Ke et al., 2006; Yan and Zhang, 2009).”
Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades (2008, positive): “…Swaminathan (2003) provide some evidence consistent with institutions in the aggregate driving poor returns after negative earnings surprises, and Ke and Ramalingegowda (2005) provide evidence that „transient‟ institutions act as earnings contrarians, selling after positive surprises and buying…”
Minding the Gap (2016, background): “Having categorized each institutional investor that holds appreciable shares (1% or more) of any of our focal firms, we then calculated the percentage of dedicated and transient institutional ownership in a given firm-year (Ke & Ramalingegowda, 2005).”
Short Selling and the Price Discovery Process (2013, background): “Bartov, Radhakrishman, and Krinsky (2000) and Ke and Ramalingegowda (2005) show that institutional investors are sophisticated investors who exploit earnings patterns, so we include lastquarter institutional holdings scaled by shares outstanding as a control.”
Managers’ and Investors’ Responses to Media Exposure of Board Ineffectiveness (2009, neutral): “This classification has been widely used in the literature (see, e.g., Ke and Ramalingegowda (2005), Gong, Louis, and Sun (2007), and Chen, Harford, and Li (2007)).”
Implications of Transaction Costs for the Post-Earnings Announcement Drift (2008, background): “8 PEAD-related trades by transient institutional investors (Ke and Ramalingegowda [2005]).”