Informed Trading Around Earnings Announcements in Australia

51 Pages Posted: 17 Jan 2019

See all articles by Anh Le

Anh Le

School of Economics, Finance and Marketing, RMIT University; Financial Research Network (FIRN)

Xiangkang Yin

Deakin University; Financial Research Network (FIRN)

Jing Zhao

La Trobe University - School of Economics and Finance; Financial Research Network (FIRN)

Date Written: January 16, 2019

Abstract

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

Le, Anh and Yin, Xiangkang and Zhao, Jing, Informed Trading Around Earnings Announcements in Australia (January 16, 2019). 2019 Financial Markets & Corporate Governance Conference. Available at SSRN: https://ssrn.com/abstract=3317247

Anh Le (Contact Author)

School of Economics, Finance and Marketing, RMIT University ( email )

Building 80, 445 Swanston Street
Melbourne, Victoria 3000
Australia
+61 3 9925 1220 (Phone)

Financial Research Network (FIRN) ( email )

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

Xiangkang Yin

Deakin University ( email )

Melbourne, Victoria
Australia

Financial Research Network (FIRN)

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

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

Jing Zhao

La Trobe University - School of Economics and Finance ( email )

Dept of Economics and Finance
La Trobe University
Bundoora, VIC 3086
Australia

Financial Research Network (FIRN)

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

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

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