(Presentation Slides) Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence From Personal Trades

54 Pages Posted: 21 Aug 2018

See all articles by David A. Hirshleifer

David A. Hirshleifer

University of California, Irvine - Paul Merage School of Business; NBER

James N. Myers

University of Tennessee, Knoxville - College of Business Administration

Linda A. Myers

University of Tennessee, Haslam College of Business, Accounting and Information Management

Siew Hong Teoh

University of California, Irvine - Accounting Area

Date Written: November 4, 2003

Abstract

This study tests whether naïve trading by individual investors, or some class of individual investors, causes post-earnings announcement drift (PEAD). Inconsistent with the individual trading hypothesis, individual investor trading fails to subsume any of the power of extreme earnings surprises to predict future abnormal returns. Moreover, individuals are significant net buyers after both negative and positive extreme earnings surprises, consistent with an attention effect, but not with their trades causing PEAD. Finally, we find no indication that trading by individuals explains the concentration of drift at subsequent earnings announcement dates. The paper is available here: https://ssrn.com/abstract=1120495.

Keywords: Earnings Anomalies, Post-Earnings Announcement Drift, Market Efficiency, Trading Activity, Individual Investors, Investor Sophistication

JEL Classification: G14, M41

Suggested Citation

Hirshleifer, David A. and Myers, James N. and Myers, Linda A. and Teoh, Siew Hong, (Presentation Slides) Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence From Personal Trades (November 4, 2003). Available at SSRN: https://ssrn.com/abstract=3228813 or http://dx.doi.org/10.2139/ssrn.3228813

David A. Hirshleifer (Contact Author)

University of California, Irvine - Paul Merage School of Business ( email )

Irvine, CA California 92697-3125
United States

HOME PAGE: http://sites.uci.edu/dhirshle/

NBER ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

James N. Myers

University of Tennessee, Knoxville - College of Business Administration ( email )

Haslam Business Building
Knoxville, TN
United States

Linda A. Myers

University of Tennessee, Haslam College of Business, Accounting and Information Management ( email )

Knoxville, TN
United States

Siew Hong Teoh

University of California, Irvine - Accounting Area ( email )

Irvine, CA 92697-3125
United States

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