Abstract

http://ssrn.com/abstract=1919884
 
 

References (22)



 


 



Informed Local Trading Prior to Earnings Announcements


Keith Jacks Gamble


DePaul University - Department of Finance

Thomas Berry


DePaul University – Kellstadt Graduate School of Business

August 17, 2012

Midwest Finance Association 2012 Annual Meetings Paper
Journal of Financial Markets, Vol. 16, No. 3, 2013

Abstract:     
Do individual investors have better information about local stocks? Our results demonstrate that they do. Large trading imbalances by investors living close to a firm’s headquarters predict the stock’s earnings announcement return. Stocks with the most net buying by local investors average significantly higher market-adjusted announcement returns than stocks with the most net selling by local investors. This return difference is pronounced for small- and medium-sized firms, but absent among large firms, which have significant analyst coverage. Local investors' informational advantage comes at the expense of nonlocal traders.

Number of Pages in PDF File: 37

Keywords: Location, Information, Earnings, Local, Individual investors

JEL Classification: G10, G11

Accepted Paper Series





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Date posted: August 31, 2011 ; Last revised: August 22, 2013

Suggested Citation

Gamble, Keith Jacks and Berry, Thomas, Informed Local Trading Prior to Earnings Announcements (August 17, 2012). Midwest Finance Association 2012 Annual Meetings Paper; Journal of Financial Markets, Vol. 16, No. 3, 2013. Available at SSRN: http://ssrn.com/abstract=1919884 or http://dx.doi.org/10.2139/ssrn.1919884

Contact Information

Keith Jacks Gamble (Contact Author)
DePaul University - Department of Finance ( email )
1 East Jackson Blvd.
Chicago, IL 60604-2287
United States
Thomas Berry
DePaul University – Kellstadt Graduate School of Business ( email )
1 East Jackson Blvd.
Chicago, IL 60604
United States
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