Earnings news and small traders
Journal of Accounting and EconomicsPublished 1 June 1992Open access
Charles M.C. Lee
Citations523
SJR quartileQ1
SJR score7.50
SNIP3.59
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Abstract
This study separates trading volume into buyer- and seller-initiated activities and examines the directional volume reaction in small and large trades to different types of earnings news. `Good' (`bad') news triggers brief, but intense, buying (selling) in the large trades. However, a persistent period of unusually high buying activity is observed in the small trades irrespective of the news. This anomalous proclivity of small traders to buy is robust across firm size, trading volume, and different earnings expectation models. Several explanations are discussed, although the behavior does not seem fully explained by existing theories.
Keywords
Economics, Econometrics and FinanceBusiness, Management and Accounting
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