Earnings Announcements: Good News for Institutional Investors and Short Sellers

Posted: 5 Jan 2012

See all articles by Henk Berkman

Henk Berkman

University of Auckland - Business School

Michael D. McKenzie

The University of Sydney - Discipline of Finance; University of Cambridge - Cambridge Endowment for Research in Finance (CERF); Financial Research Network (FIRN)

Multiple version iconThere are 2 versions of this paper

Date Written: February 2012

Abstract

In this paper, we consider the trading behavior of institutional investors and short sellers around earnings announcements. The results suggest that institutional investors, and to a lesser extent short sellers, successfully anticipate earnings news. In the period immediately after the earnings announcement, both types of traders are active in the market and trade in response to the earnings announcement. In particular, short sellers are quick to increase their short positions when a company releases bad news. Institutional traders also trade in response to the news; however, they take longer to react.

Keywords: G14, informed traders, institutional ownership, short selling, earnings announcements, post‐earnings announcement drift

Suggested Citation

Berkman, Henk and McKenzie, Michael David, Earnings Announcements: Good News for Institutional Investors and Short Sellers (February 2012). Financial Review, Vol. 47, Issue 1, pp. 91-113, 2012. Available at SSRN: https://ssrn.com/abstract=1980039 or http://dx.doi.org/10.1111/j.1540-6288.2011.00322.x

Henk Berkman (Contact Author)

University of Auckland - Business School ( email )

Private Bag 92019
Room: 577
Auckland
New Zealand
(64 9) 3737599 Ext. 7181 (Phone)
(64 9) 3737406 (Fax)

Michael David McKenzie

The University of Sydney - Discipline of Finance ( email )

Level 2 9 Castlereagh Street
Sydney, NSW 2000
Australia
+61 2 9114 0578 (Phone)
+61 2 9351 6461 (Fax)

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Register to save articles to
your library

Register

Paper statistics

Downloads
2
Abstract Views
436
PlumX Metrics