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Do institutional investors exploit the post-earnings announcement drift?

  • Ke, Bin
  • Ramalingegowda, Santhosh
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File URL: http://www.sciencedirect.com/science/article/B6V87-4CX16W9-1/2/168034b0ba005ece1b5a881689a95772
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jae

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  1. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  2. 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.
  3. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
  4. Paul A. Gompers & Andrew Metrick, 1998. "Institutional Investors and Equity Prices," NBER Working Papers 6723, National Bureau of Economic Research, Inc.
  5. David K. Musto, 1999. "Investment Decisions Depend on Portfolio Disclosures," Journal of Finance, American Finance Association, vol. 54(3), pages 935-952, 06.
  6. Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March.
  7. 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, vol. 13(4), pages 305-340, December.
  8. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
  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. Ball, Ray, 1992. "The earnings-price anomaly," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 319-345, August.
  12. 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.
  13. 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.
  14. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, vol. 46(3), pages 265-292, December.
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