 Who Trades Around Earnings Announcements? Evidence from TORQ DataMalay K. Dey and B. Radhakrishna (Radha) Journal of Business Finance & Accounting, 2007, vol. 34, issue 1‐2, 269-291 Abstract: Abstract: Using TORQ database we investigate the intra‐day trading volume reactions to earnings announcements of five trader groups, individuals, institutions, exchange members, program traders, and specialists. The results of this study indicate that institutions are most active in the immediate aftermath of an announcement. Individual investors are slow at the beginning but accumulate heavy volume afterwards and exceed institutional trading volume. We find support for Harris and Raviv (1993) and Admati and Pfleiderer (1988), who respectively argue that divergence of opinion about a public information and portfolio rebalancing cause surges in pre‐ and post‐announcement trading volume. Further we find evidence of swift and aggressive trading by informed and sophisticated institutions in the immediate aftermath of the announcement, and delayed, aggressive trading volume ‘overreaction’ by ‘slow’ and ‘overconfident’ individual investors as documented by Barber and Odean (2000 and 2002) and Daniel et al. (1998). NYSE specialists provide the bulk of the liquidity needs around earnings announcements. Date: 2007 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:34:y:2007:i:1-2:p:269-291 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker More articles in Journal of Business Finance & Accounting from Wiley Blackwell |
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