Informed Trading Around Earnings Announcements in Australia
51 Pages Posted: 17 Jan 2019
Date Written: January 16, 2019
This study investigates informed trading around earnings announcements in the Australian market from 1997 to 2014. Among six investor groups, only the pre-announcement trading of Domestic Superannuation Funds (DSFs) has a significantly positive relationship with announcement return. This predictive relationship is more pronounced for firms with a poorer informational environment. DSFs are informed of both positive and negative news but they execute their trades earlier if the news is positive. They trade on their superior information concerning upcoming earnings and dividends as well. After announcements, they do not reverse their pre-announcement positions and trade in a news-momentum manner.
Keywords: Earnings announcement; Institutional investor; Superannuation fund; Foreign and domestic investors; Informed trading
JEL Classification: G10, G14, G23
Suggested Citation: Suggested Citation