Informed Trading, Earnings Surprises, and Stock Returns

2012 ◽  
Author(s):  
Hui Guo ◽  
Buhui Qiu
Keyword(s):  
Stock Returns ◽  
Informed Trading ◽  
Earnings Surprises

scholarly journals The Role of Anchoring Bias in the Equity Market: Evidence from Analysts’ Earnings Forecasts and Stock Returns

2012 ◽  
Vol 48 (1) ◽  
pp. 47-76 ◽  
Author(s):  
Ling Cen ◽  
Gilles Hilary ◽  
K. C. John Wei
Keyword(s):  
Stock Returns ◽  
Earnings Forecasts ◽  
Equity Market ◽  
Stock Splits ◽  
Forecast Errors ◽  
Forecast Revisions ◽  
Earnings Per Share ◽  
Earnings Surprises ◽  
Anchoring Bias

AbstractWe test the implications of anchoring bias associated with forecast earnings per share (FEPS) for forecast errors, earnings surprises, stock returns, and stock splits. We find that analysts make optimistic (pessimistic) forecasts when a firm’s FEPS is lower (higher) than the industry median. Further, firms with FEPS greater (lower) than the industry median experience abnormally high (low) future stock returns, particularly around subsequent earnings announcement dates. These firms are also more likely to engage in stock splits. Finally, split firms experience more positive forecast revisions, more negative forecast errors, and more negative earnings surprises after stock splits.

Liquidity Dynamics and Cross-Autocorrelations

2011 ◽  
Vol 46 (3) ◽  
pp. 709-736 ◽  
Author(s):  
Tarun Chordia ◽  
Asani Sarkar ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Simple Model ◽  
Information Transmission ◽  
Stock Returns ◽  
Informed Trading ◽  
Information Asymmetries ◽  
Small Stock

AbstractThis paper examines the relation between information transmission and cross-autocorrelations. We present a simple model, where informed trading is transmitted from large to small stocks with a lag. In equilibrium, large stock illiquidity induced by informed trading portends stronger cross-autocorrelations. Empirically, we find that the lead-lag relation increases with lagged large stock illiquidity. Further, the lead from large stock order flows to small stock returns is stronger when large stock spreads are higher. In addition, this lead-lag relation is stronger before macro announcements (when information-based trading is more likely) and weaker afterward (when information asymmetries are lower).

Innovation and Informed Trading: Evidence from Industry ETFs

2020 ◽  
Author(s):  
Shiyang Huang ◽  
Maureen O’Hara ◽  
Zhuo Zhong
Keyword(s):  
Market Efficiency ◽  
Hedge Fund ◽  
Informed Trading ◽  
Risk Exposure ◽  
Exchange Traded Funds ◽  
Post Earnings Announcement Drift ◽  
Earnings Surprises ◽  
Short Interest ◽  
The Impact ◽  
Industry Risk

Abstract We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift more among stocks with high industry risk exposure, suggesting that IETFs improve market efficiency. We also find that the short interest ratio of IETFs positively predicts IETF returns, consistent with the hedging role of IETFs.

scholarly journals When Everyone Misses on the Same Side: Debiased Earnings Surprises and Stock Returns

2014 ◽  
Author(s):  
Chin-Han Chiang ◽  
Wei Dai ◽  
Jianqing Fan ◽  
Harrison G. Hong ◽  
Jun Tu
Keyword(s):  
Stock Returns ◽  
Earnings Surprises

The Extreme Future Stock Returns Following I/B/E/S Earnings Surprises

2006 ◽  
Vol 44 (5) ◽  
pp. 849-887 ◽  
Author(s):  
JEFFREY T. DOYLE ◽  
RUSSELL J. LUNDHOLM ◽  
MARK T. SOLIMAN
Keyword(s):  
Stock Returns ◽  
Earnings Surprises
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