We find that both institutional owners and short sellers decrease their positions prior to earnings announcements, and increase their positions in the post-announcement period. Pre-announcement changes in institutional holdings and short interest have significant explanatory power with respect...

This paper uses holdings and outage data from Robinhood and transaction-level data from U.S. exchanges to examine how retail investors affect the pricing of public earnings information. We find that retail trader activity is associated with prices that are more responsive to earnings surprises,...

This paper investigates market-level and private investor trading patterns and performance around earnings announcements. We document clear evidence for abnormal trading around earnings announcements for both the entire market and households in Germany and observe that private investor...

While it is widely acknowledged that companies face increasing cybersecurity risk stemming from hackers stealing customer information, a relatively unknown cybersecurity risk is from information leakage and subsequent trading by digital insiders – hackers who target corporations to obtain...

Designated market makers (DMMs) are contractually obligated to increase liquidity provision when trading volume breaches a floor. Using this feature in a regression discontinuity design, we show that increased DMM participation facilitates price informativeness with respect to earnings news....

This study examines the institutional investors' trading strategies to exploit the post-earnings announcement drift (PEAD) around earnings announcements in China. China's fund management industry is developing rapidly. Our findings suggest the possibility that institutional investors trade on...

We analyze the earnings information and stock prices of S&P500 firms and find that investors following S&P500 stocks (i) respond more to pro forma earnings than to GAAP earnings, (ii) respond to an emphasis on pro forma earnings, and (iii) are fixated on pro forma earnings. We provide the first...

In a single market, liquidity supply has two dimensions--price measured by the quoted spread, and quantity measured by the quoted depth. A third liquidity dimension, market breath, should be added when multiple markets quote the same security and there are enforceable regulatory penalties for a...

We show that immediate and delayed abnormal returns following earnings announcement surprises differ across market states. Immediate abnormal returns are more sensitive to earnings surprises in down markets, while delayed abnormal returns are less sensitive; underreaction is attenuated in down...

The Post-Earnings Announcement Drift (PEAD) anomaly refers to the tendency of stock prices to continue drifting in the same direction as earnings surprises well through the subsequent earnings announcements; ignoring the autocorrelations in extreme earnings surprises across adjacent quarters....