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Informed trading around earnings announcements in Australia

journal contribution
posted on 2019-12-01, 00:00 authored by A Le, Xiangkang YinXiangkang Yin, J Zhao
© 2019 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.

History

Journal

Pacific Basin Finance Journal

Volume

58

Article number

ARTN 101216

Pagination

1 - 20

Location

Amsterdam, The Netherlands

ISSN

0927-538X

eISSN

1879-0585

Language

English

Publication classification

C1 Refereed article in a scholarly journal

Publisher

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