Individual Investor Trading and Return Patterns Around Earnings Announcements

By Ron Kaniel, Shuming Liu, Gideon Saar, Sheridan Titman. 2012

420 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/88fd7701ec6ce35fc2079002e39a937332b9098e

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Citations in the corpus

Why Don't We Agree? Evidence from a Social Network of Investors (2019, background): “It is a well-known empirical regularity that trading volume spikes on the earnings announcement date and remains high for several weeks (Drake et al., 2012; Kaniel et al., 2012).”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, positive): “Bamber (1986), Battalio and Mendenhall (2005), Bhattacharya et al. (2007), Kaniel et al. (2008), and Ayers et al. (2009) provide similar evidence, which collectively suggests that differences in the quality of investors’ predisclosure information are sufficiently material to spur significant…”
Firm specific and macro herding by professional and amateur investors and their effects on market volatility (2011, methodology): “These measures are not exactly equivalent to herding, but we chose them as they were used in other research on the effect of groups of investors on market returns (see, e.g., Kaniel et al., 2007).”
Retail Short Selling and Stock Prices (2016, background): “Our evidence that some retail investors are informed bolsters evidence in recent studies by Kaniel et al. (2012) and Kelley and Tetlock (2013) and highlights the importance of recognizing heterogeneity within investor subgroups such as retail traders that many researchers treat as homogenous.”
customers as advisors: the role of social media in financial markets (2011, positive): “…volatility and they both detect a reliable association. taken together, imply that retail traders are skilled and able to identify and trade on novel, value-relevant information (e.g., Coval et al. (2005); Kaniel et al. (2008); Griffin et al.; Kaniel et al. (2011); Kelley and Tetlock (2011)).”
Tracking Retail Investor Activity (2020, background): “However, some more recent evidence, including Kaniel, Saar, and Titman (2008), Kaniel et al. (2012), Kelley and Tetlock (2013), Fong, Gallagher, and Lee (2014), and Barrot, Kaniel, and Sraer (2016), suggests otherwise.”
Individual investors and financial disclosure (2013, methodology): “While the data used in Kaniel et al. (2009) represent the majority of trades made by individuals on the NYSE and hence, have extensive breadth, an advantage of my brokerage data is their depth—containing shareholding positions and information concerning individual characteristics, which I benefit…”
Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality (2021, positive): “Recent research suggests that retail trades in aggregate positively predict future returns and earnings surprises (Kaniel et al., 2008; 2012; Kelley and Tetlock 2013; Barrot, Kaniel, and Sraer, 2016; Boehmer et al., 2020).”