trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … evidence that is consistent with the idea that option investors have private information prior to positive earnings …

This is the first study to examine the post-earnings-announcement drift anomaly in a Real Estate Investment Trust (REIT …) context. The efficient markets hypothesis suggests that unexpected earnings should be fully incorporated into asset prices … soon after being publicly announced. We hypothesize that publicly announced earnings signals may be more certain for REITs …

This study examines the extent to which analyst recommendations were useful in identifying earnings surprises during … subsequent earnings surprises suggests a significant decline in the predictive value of analysts' recommendations after … Regulation FD took effect. Recommendation revisions are roughly 55 percent less useful in predicting earnings surprises in the …

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 …

Prior research demonstrates that investors respond differently to earnings surprises that are part of a string of … consecutive earnings increases or surprises than to those that are not. To shed light on who values these patterns, I compare … trading responses of small and large traders to earnings surprises that occur during a series of positive or negative …

stronger during earnings announcements. Volatility spreads are measured by the implied volatility differences between pairs of …-day earnings announcement window, the abnormal returns to the quintile that includes stocks with relatively expensive call options …

This study investigates odd lot trading, both odd lot trades and odd lot orders, around quarterly earnings … announcements to determine whether or not odd lot traders are informed regarding the information contained in earnings announcements … that odd lot traders do not successfully trade around earnings announcements to earn positive market adjusted returns …

This paper examines information processing skills of institutional investors after earnings releases. If institutions … can correctly process earnings signals, their trades should push the price towards the fundamental value. In contrast, if … trading on the precision of the earnings signal. We find that institutions are good at processing signals with greater …

The relation between average equity return and market exposure behaves distinctively on days on which early earnings … earnings for related firms. On such days (labelled as LEADs), a higher beta of one in the cross-section is significantly … earnings announcement premiums for LEAD announcers, and that this cycle coincides with beta increases. The post-earnings …

week of earnings announcement as well as analyst recommendation revision relative to trading in exchanges as well as … broker-customer conflict, we find that pre-week trading happens in dark pools where proprietary flow is allowed. Post-earnings …