Earticle

초록

영어

This paper investigates the trading behavior of individual, domestic institutional and foreign investors around earnings announcements in the Korean stock market. We first find that post-earnings-announcement drift (PEAD) exists in the Korean stock market for the post-2000 sample period, and that PEAD in Korea is similar in magnitude and persistence to PEAD in the US. Inspecting the trading behavior of the three types of investors before and after earnings announcements, we find that foreign investors’ trading behavior prior to earnings announcements predicts earnings surprise, and that their trades after earnings announcements appear to exploit PEAD to their advantage. In contrast, domestic institutional investors’ trades do not predict earnings surprise and their post-announcement trades do not seem to take account of PEAD. The findings suggest that foreign investors are superior to domestic investors in terms of informational advantage and/or investor sophistication. Somewhat puzzling is the trading behavior of individual investors, whose trades before earnings announcements predict earnings surprise in the opposite direction, and they continue to buy bad earnings surprise firms even after earnings announcements.

목차

Abstract
 1. Introduction
 2. PEAD in the Korean Stock Market
  Measuring Earnings Surprise
  Identifying Earnings Announcement Dates in Korea
  Data
  SUE Portfolios and CAR
 3. Trading Behavior around the Earnings Announcements by Investor Type
 4. Trading Behavior, Earnings Surprise, and PEAD
 5. Conclusion
 References
 Table
 Figure

저자

• Yunsung Eom [ Hansung University, yseom ]
• Jaehoon Hahn [ Yonsei University, hahnj ]
• Wook Sohn [ KDI School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330