This study examines whether individual investors are the source of post- earnings announcement drift (PEAD). We provide … evidence on how individual investors trade in response to extreme quarterly earnings surprises and on the relation between … individuals in our sample cause PEAD. Individuals are significant net buyers after both negative and positive earnings surprises …

Prior studies use fundamental earnings forecasts to proxy for the market's expectations of earnings because analyst … earnings, but fundamental forecasts are formed using the historically efficient weights on firm-level variables. Thus, we … develop an alternative ex ante proxy for the market's expectations of future earnings (‘the implied market forecast') using …

This study tests whether naïve trading by individual investors, or some class of individual investors, causes post-earnings … 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 …