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Informed trading around earnings announcements in Australia

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  • Le, Anh
  • Yin, Xiangkang
  • Zhao, Jing

Abstract

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.

Suggested Citation

  • Le, Anh & Yin, Xiangkang & Zhao, Jing, 2019. "Informed trading around earnings announcements in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    • Handle: RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19305049
    DOI: 10.1016/j.pacfin.2019.101216
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    More about this item

    Keywords

    Earnings announcement; Institutional investor; Superannuation fund; Foreign and domestic investors; Informed trading;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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