Informed trading around earnings announcements in Australia

Anh Le, Xiangkang Yin and Jing Zhao

Pacific-Basin Finance Journal, 2019, vol. 58, issue C

Abstract: This study investigates informed trading around earnings announcements in the Australian market from 1997 to 2014. Among six investor groups, only the pre-announcement trading of Domestic Superannuation Funds (DSFs) has a significantly positive relationship with announcement return. This predictive relationship is more pronounced for firms with a poorer informational environment. DSFs are informed of both positive and negative news but they execute their trades earlier if the news is positive. They trade on their superior information concerning upcoming earnings and dividends as well. After announcements, they do not reverse their pre-announcement positions and trade in a news-momentum manner.

Keywords: Earnings announcement; Institutional investor; Superannuation fund; Foreign and domestic investors; Informed trading (search for similar items in EconPapers)
JEL-codes: G10 G14 G23 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19305049

DOI: 10.1016/j.pacfin.2019.101216

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