Retail Investor Horizon and Earnings Announcements

Domonkos F. Vamossy

Papers from arXiv.org

Abstract: This paper moves beyond aggregate measures of retail intensity to explore investment horizon as a distinguishing feature of earnings-related return patterns. Using self-reported holding periods from StockTwits (2010-2021), we observe that separating retail activity into "long-horizon" and "short-horizon" cohorts reveals divergent price anomalies. Long-horizon composition is associated with underreaction, characterized by larger initial reactions and pronounced Post-Earnings Announcement Drift (PEAD), suggesting a slow but persistent convergence toward fundamental value. In contrast, short-horizon activity parallels sentiment-driven overreaction, where elevated pre-event sentiment precedes weaker subsequent performance and price reversals. A zero-cost strategy exploiting this heterogeneity, going long on long-horizon stocks and short on short-horizon stocks, yields risk-adjusted alphas of 0.43% per month. These findings suggest that accounting for investment horizon helps disentangles the fundamental signal in retail flow from speculative noise.

Date: 2025-11, Revised 2025-12
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2512.00280 Latest version (application/pdf)

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:arx:papers:2512.00280

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().