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Odd lot trading and earnings announcements

Author

Listed:
  • Hardy Johnson

    (Kansas State University)

  • Ansley Chua

    (Kansas State University)

  • Tianming Zhang

    (Florida State University)

Abstract

This study investigates odd lot trading, both trades and orders, around quarterly earnings announcements to determine whether odd lot traders are informed regarding the information contained in earnings announcements. We find pre-announcement odd lot order imbalances are not positively correlated with post-announcement returns and odd lot traders do not earn excess returns. Portfolios long stocks highly bought by odd lot traders in the pre-announcement period and short stocks highly sold by odd lot traders do not outperform the market. We conclude that odd lot traders are not in possession of earnings announcement information prior to its release to the public.

Suggested Citation

  • Hardy Johnson & Ansley Chua & Tianming Zhang, 2018. "Odd lot trading and earnings announcements," Review of Quantitative Finance and Accounting, Springer, vol. 51(2), pages 529-551, August.
    • Handle: RePEc:kap:rqfnac:v:51:y:2018:i:2:d:10.1007_s11156-017-0679-0
    DOI: 10.1007/s11156-017-0679-0
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    References listed on IDEAS

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    More about this item

    Keywords

    Odd lots; Earnings announcements; 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

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