The News Impact Around the Earnings Announcement with the Incorporation of Investor Types

29 Pages Posted: 26 Aug 2011

See all articles by Yu-Chen Wei

Yu-Chen Wei

National Kaohsiung University of Science and Technology

Ralph Lu

Ming Chuan University - Department of Finance

Date Written: August 26, 2011

Abstract

This study investigates whether the news release prior to the earnings announcement would influence different investors’ trading behavior during the earnings announcement periods. We bridge the gaps between this study and the previous analyses that the technology of text mining is applied to extract the Chinese news, the proxies of the news information are constructed and the comprehensive tick data is used to categorize trader types including dealers, mutual funds, foreigners, individuals and corporations. The empirical results show that individuals may have significant reactions to the news report prior to the earnings announcement. However the news report may have less effect to institutions’ trading behavior. The findings confirm that institutions are more rational than individuals.

Suggested Citation

Wei, Yu-Chen and Lu, Ralph Yang-Cheng, The News Impact Around the Earnings Announcement with the Incorporation of Investor Types (August 26, 2011). Available at SSRN: https://ssrn.com/abstract=1917373 or http://dx.doi.org/10.2139/ssrn.1917373

Yu-Chen Wei (Contact Author)

National Kaohsiung University of Science and Technology ( email )

No. 1, University Road
Yanchao District
Kaohsiung City, Taiwan 824
Taiwan

Ralph Yang-Cheng Lu

Ming Chuan University - Department of Finance ( email )

Taiwan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
77
Abstract Views
792
Rank
585,941
PlumX Metrics