Who profits from trading around earnings announcements? Evidence from TORQ data

Malay K Dey () and B Radhakrishna (Radha)
Additional contact information
Malay K Dey: Cotsakos School of Business, William Paterson University

Journal of Asset Management, 2008, vol. 9, issue 4, No 6, 300-308

Abstract: Abstract Using the TORQ database, we investigate whether equity trading by individuals and institutions around earnings announcements generates any profit for those trader groups. We define profit as the excess return over a passive portfolio return. Our results indicate that institutional investors do not earn excess returns from trading either before or after announcements. Individuals earn weakly significant positive excess returns from their trading during the half hour before announcements, but they also suffer a significantly negative excess return from trades on the day after announcement. Institutions suffer trading loss one hour after announcements and on the day before and one day after announcements. We interpret these losses as due to the adverse price effect of trade size.

Keywords: individual and institutional investors; earnings announcements; intra-day trading; return; behavioural finance (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1057/jam.2008.24 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:pal:assmgt:v:9:y:2008:i:4:d:10.1057_jam.2008.24

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/jam.2008.24

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().