Earticle

초록

영어

We develop a hypothesis that informed investors deliberately choose order types (market vs. limit orders) in buying and selling stocks around earnings announcement and the relative magnitude of two order type has implications on the cross-sectional variation of the post earnings announcement drift. We test the hypothesis using the Korea Exchange (KRX) data set that identifies both order type and investor type (individual, institutional and foreign investors) for all the stocks listed on the Kospi market of the KRX. Consistent with our hypothesis, we find that the information on the order type selection, which is publicly available at the end of each trading day, can explain whether stock prices after earnings announcement would exhibit a drift or a reversal and improves the profitability of wellknown post earnings announcement strategy substantially. We also examine the informativeness of the relative magnitude of order types on future stock returns for each investor type.

목차

Abstract
 1. Introduction
 2. Key Variables and Summary Statistics
 3. Trading Volume, Order Type, and Post Earnings Announcement Drift
  3.1 Event time analyses
  3.2 Calendar Time Analyses
  3.3 VWAP
  3.4 What factors affect the selection of order types?
 4. Order Selection By Investor Type and Future Returns
  4.1 Order Selection By Investor Type
  4.2 Order Selection By Investor Type and Future Returns
 5. Conclusion
 References

저자

• Jay M. Chung [ Associate Professor, School of Finance, Soongsil University ]
• Mhin Kang [ PhD Candidate, Graduate School of Business, Seoul National University ]
• Jung-Wook Kim [ Associate Professor, Graduate School of Business, Seoul National University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330