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Earnings expectations, investor trade size, and anomalous returns around earnings announcements

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  • Battalio, Robert H.
  • Mendenhall, Richard R.

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  • Battalio, Robert H. & Mendenhall, Richard R., 2005. "Earnings expectations, investor trade size, and anomalous returns around earnings announcements," Journal of Financial Economics, Elsevier, vol. 77(2), pages 289-319, August.
  • Handle: RePEc:eee:jfinec:v:77:y:2005:i:2:p:289-319
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    5. Ball, Ray & Bartov, Eli, 1996. "How naive is the stock market's use of earnings information?," Journal of Accounting and Economics, Elsevier, vol. 21(3), pages 319-337, June.
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    7. Brooks, Raymond M. & Su, Tie, 1997. "A Simple Cost Reduction Strategy for Small Liquidity Traders: Trade at the Opening," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(4), pages 525-540, December.
    8. David Hirshleifer & James N. Myers & Linda A. Myers & Siew Hong Teoh, 2004. "Do Individual Investors Drive Post-Earnings Announcement Drift? Direct Evidence from Personal Trades," Finance 0412003, University Library of Munich, Germany.
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