Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades

By David A. Hirshleifer, James N. Myers, Linda A. Myers, Siew Hong Teoh. 2008

262 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8bdbef2ee5ddd6397fe8d3cd9fabd2c9fef87428

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Citations in the corpus

Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs (2018, unknown): “Introduction Prior literature finds that individual investors often fail to incorporate value-relevant accounting information into trading decisions (e.g., Lee 1992; Hirshleifer et al. 2008; Maines & Hand 1996; Ayers et al. 2011) and instead tend to underperform by trading on attention-grabbing tren”
Investor Trading and the Post Earnings Announcement Drift (2011, unknown): “More recently, Hirshleifer et al. (2008) use individual trading data to investigate whether naïve individual investors trade contrary to the RW earnings surprises at earnings announcements, which creates underpricing after good RW news and overpricing after bad RW news.”
Political contributions and analyst behavior (2015, unknown): “In contrast, less sophisticated market participants, such as retail investors (Bonner et al. 2003; Malmendier and Shanthikumar 2007; Mikhail et al. 2007; Hirshleifer et al. 2008), may fail to discriminate effectively.”
Limited attention and the earnings announcement returns of past stock market winners (2010, unknown): “Limited attention has been conjectured as an explanation for investors’ underreaction to earnings surprises (Hirshleifer et al. 2008; Hou et al. 2008), their underreaction to the information in pro-forma earnings announcements 1 In untabulated results, we find that only 30% of the past winners are…”
The Role of Newswires in Screening and Disseminating Value-Relevant Information in Periodic SEC Reports (2011, unknown): “…confluence of demand and supply-side effects restricts the market’s processing ability when it is inundated with information or when facing complex information (Hirshleifer et al. 2008; You and Zhang forthcoming), which is commonly the case in periodic reports (Griffin 2003; Li and Ramesh 2009a).”
Do Corporate Site Visits Impact Stock Prices? (2018, unknown): “To further address this concern, we follow Hirshleifer et al. (2008) in identifying some variables that can potentially affect the timing of site visits and then add these variables to the main regression.”
Institutional Trade Persistence and Long-term Equity Returns (2011, unknown): “The second half of the sample is characterized by an increase in average institutional ownership, and thus institutional trading in the average stock is likely to be higher than that in the rst half of the sample.”
Individual investors and financial disclosure (2013, background): “Using such trading records, Hirshleifer, Myers, Myers, and Teoh (2008), Kaniel, Liu, Saar, and Titman (2009), and Taylor (2010) investigate whether individual investors appear to contribute to the post-earnings announcement drift (PEAD).”
Social Discrimination in the Corporate Elite (2013, background): “In particular, we expect that CEOs are most likely to render such attributions in their conversations with journalists following a so-called ‘‘negative earnings surprise,’’ earnings that are below the consensus forecasts of security analysts (Hirshleifer et al., 2008).”
Who Uses Financial Reports and for What Purpose? Evidence from Capital Providers (2014, unknown): “Hirshleifer et al. (2008), using personal trade data provided by a discount broker, document that retail investors tend to be net buyers around earnings announcements with extreme earnings surprises, regardless of whether these surprises are positive or negative.”