Do Individual Investors Drive the Post Earning Announcement Drift in Chinese Stock Market: Based on the Trading Data in One Retail Brokerage Firm
Do Individual Investors Drive the Post Earning Announcement Drift in Chinese Stock Market: Based on the Trading Data in One Retail Brokerage Firm
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DOI：
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发表时间：
2012
影响因子：
5.9
通讯作者：
Zhang Xiao-fei
中科院分区：
文献类型：
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作者：
Zhang Xiao-fei
本文基于某券商622425笔交易记录，研究了散户投资者的实际交易行为与盈余公告后漂移（PEAD）的关系，检验了散户投资者与PEAD的关系，研究结果表明，无论预期外收益是否存在，个人投资者都没有显著的买卖行为无论是否为正，个人投资者的交易行为对预测市场收益率没有贡献，因此个人交易假说被否定，个人投资者的交易行为不是导致PEAD的原因。
Based on 622 425 trading records in a retail broker,the paper studies the relationship between individual investors' actual trading behaviors and post earnings announcement drift(PEAD),tests the relationship between the individual investor and PEAD,and analyzes whether individual investors' trading behaviors are reasons for PEAD.Results show that individual investors do not have significant purchasing or selling behavior whether unexpected earnings are positive or not,individual investors' behaviors contribute nothing to predicting the market return,and hence the individual trading hypothesis is rejected.As a conclusion,individual investors' trading behaviors are not reasons for PEAD.