Individual Investor Trading Around Earnings Announcements: Noise or Information? Evidence from an Emerging Market

25 Pages Posted: 31 Jan 2013

See all articles by Zhijuan Chen

Zhijuan Chen

Zhejiang Gongshang University (ZJGSU)

William T. LIn

Tamkang University - Banking & Finance

Changfeng Ma

Zhejiang Gongshang University (ZJGSU)

Date Written: January 30, 2013

Abstract

This paper studies whether individual investors have information advantage before earnings announcements on an emerging market using a unique data set of TWSE. Consistent with existing research on American market, it is surprising that pre-event individual investor trading is also positively correlated with stock returns on and after earnings announcements dates in Taiwan. However, the sign of correlation between individual investor trading and stock return around earnings announcements shows weak evidence of noise trading rather than information advantage, which is opposite to that of American stock market.

Keywords: Individual investor, noise trading, information, net individual trading, return predictability, liquidity provision

JEL Classification: G10, G14

Suggested Citation

Chen, Zhijuan and LIn, William T. and Ma, Changfeng, Individual Investor Trading Around Earnings Announcements: Noise or Information? Evidence from an Emerging Market (January 30, 2013). Available at SSRN: https://ssrn.com/abstract=2209080 or http://dx.doi.org/10.2139/ssrn.2209080

Zhijuan Chen

Zhejiang Gongshang University (ZJGSU) ( email )

Department Of Statistics & Mathematics
Zhejiang
China

William T. LIn

Tamkang University - Banking & Finance ( email )

Department of Banking and Finance
Taiwan, 25137
Taiwan

Changfeng Ma (Contact Author)

Zhejiang Gongshang University (ZJGSU) ( email )

No.18, Xuezheng Street, Hangzhou
Zhejiang, 310018
China
+86-15869002784 (Phone)

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