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Do institutional investors exploit the post-earnings announcement drift?

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  • Ke, Bin
  • Ramalingegowda, Santhosh
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Accounting and Economics.

Volume (Year): 39 (2005)
Issue (Month): 1 (February)
Pages: 25-53

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Handle: RePEc:eee:jaecon:v:39:y:2005:i:1:p:25-53

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  1. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
  2. John M. Griffin & Jeffrey H. Harris & Selim Topaloglu, 2003. "The Dynamics of Institutional and Individual Trading," Journal of Finance, American Finance Association, vol. 58(6), pages 2285-2320, December.
  3. Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
  4. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
  5. Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 13(4), pages 305-340, December.
  6. Brennan, Michael J & Subrahmanyam, Avanidhar, 1998. "The Determinants of Average Trade Size," The Journal of Business, University of Chicago Press, vol. 71(1), pages 1-25, January.
  7. Ball, Ray, 1992. "The earnings-price anomaly," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 15(2-3), pages 319-345, August.
  8. Paul A. Gompers & Andrew Metrick, . "Institutional Investors and Equity Prices," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 20-99, Wharton School Rodney L. White Center for Financial Research.
  9. Mark Mitchell & Todd Pulvino & Erik Stafford, 2002. "Limited Arbitrage in Equity Markets," Journal of Finance, American Finance Association, vol. 57(2), pages 551-584, 04.
  10. Jia He, 2004. "Quarterly Trading Patterns of Financial Institutions," The Journal of Business, University of Chicago Press, vol. 77(3), pages 493-510, July.
  11. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 31(1-3), pages 105-231, September.
  12. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, vol. 66(2), pages 246-53, May.
  13. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, Elsevier, vol. 46(3), pages 265-292, December.
  14. David K. Musto, 1999. "Investment Decisions Depend on Portfolio Disclosures," Journal of Finance, American Finance Association, vol. 54(3), pages 935-952, 06.
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Citations

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Cited by:
  1. Ravi, Rahul & Hong, Youna, 2014. "Firm opacity and financial market information asymmetry," Journal of Empirical Finance, Elsevier, Elsevier, vol. 25(C), pages 83-94.
  2. Zhang, Qi & Cai, Charlie X. & Keasey, Kevin, 2013. "Market reaction to earnings news: A unified test of information risk and transaction costs," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 56(2), pages 251-266.
  3. M. Lambert & G. Hübner & P.-A. Michel & H. Olivier, 2006. "International Financial Reporting Standards and Market Efficiency: A European Perspective," LSF Research Working Paper Series 06-04, Luxembourg School of Finance, University of Luxembourg.
  4. Kaniel, Ron & Liu, Shuming & Saar, Gideon & Titman, Sheridan, 2011. "Individual Investor Trading and Return Patterns around Earnings Announcements," CEPR Discussion Papers 8259, C.E.P.R. Discussion Papers.
  5. Wang, Anxing & Zhou, Jimei & Chen, Tao, 2011. "Which institutions matter to short-term market efficiency in Japan?," Research in Economics, Elsevier, Elsevier, vol. 65(3), pages 164-179, September.
  6. Martijn Cremers & Ankur Pareek, 2009. "Institutional Investors’ Investment Durations and Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance and R&D Increases," Yale School of Management Working Papers, Yale School of Management amz2662, Yale School of Management, revised 04 Sep 2009.
  7. Timothy Fogarty & Michel Magnan & Garen Markarian & Serge Bohdjalian, 2009. "Inside Agency: The Rise and Fall of Nortel," Journal of Business Ethics, Springer, vol. 84(2), pages 165-187, January.
  8. Baik, Bok & Kang, Hyoung-Goo & Kim, Young Jun, 2013. "Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 23(C), pages 109-130.
  9. Richardson, Scott & Tuna, Irem & Wysocki, Peter, 2010. "Accounting anomalies and fundamental analysis: A review of recent research advances," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 50(2-3), pages 410-454, December.
  10. Juan Wang, 2011. "Transient institutional investors and insider trading signals," International Journal of Accounting and Information Management, Emerald Group Publishing, Emerald Group Publishing, vol. 19(2), pages 118-145, June.
  11. G. Geoffrey Booth & Juha-Pekka Kallunki & Petri Sahlström & Jaakko Tyynelä, 2011. "Foreign vs domestic investors and the post-announcement drift," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 7(3), pages 220-237, June.
  12. Baik, Bok & Kang, Jun-Koo & Kim, Jin-Mo, 2010. "Local institutional investors, information asymmetries, and equity returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 97(1), pages 81-106, July.

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