Odd lot trading and earnings announcements

Hardy Johnson (), Ansley Chua () and Tianming Zhang ()
Additional contact information
Hardy Johnson: Kansas State University
Ansley Chua: Kansas State University
Tianming Zhang: Florida State University

Review of Quantitative Finance and Accounting, 2018, vol. 51, issue 2, No 9, 529-551

Abstract: Abstract This study investigates odd lot trading, both trades and orders, around quarterly earnings announcements to determine whether odd lot traders are informed regarding the information contained in earnings announcements. We find pre-announcement odd lot order imbalances are not positively correlated with post-announcement returns and odd lot traders do not earn excess returns. Portfolios long stocks highly bought by odd lot traders in the pre-announcement period and short stocks highly sold by odd lot traders do not outperform the market. We conclude that odd lot traders are not in possession of earnings announcement information prior to its release to the public.

Keywords: Odd lots; Earnings announcements; Informed trading (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11156-017-0679-0 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:rqfnac:v:51:y:2018:i:2:d:10.1007_s11156-017-0679-0

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

DOI: 10.1007/s11156-017-0679-0

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().