Earnings Announcements and Probability of Informed Trading

本研究使用东京证券交易所的数据，考察实际收益和管理层收益预测的同时发布是否会影响投资者之间的信息不对称性即信息交易概率。我的主要调查结果如下。首先，在控制了信息不对称的其他决定因素后，PIN与日本企业的交叉持股正相关。第二，个人交易是如此天真，好像他们只使用盈利公告时发布的信息，而机构交易是如此复杂。最后，在盈余公告时披露管理层盈余预测的公司的信息不对称程度低于未披露的公司，这主要是由于降低了寻找私人信息的动机。这一发现表明，同时报告的实际收益沿着管理层盈利预测导致投资者之间的信息不对称减少。

This research project examines whether contemporaneous announcements of actual earnings and management earnings forecasts affect the probability of information-based trade(PIN), information asymmetry among investors, using the data from the Tokyo Stock Exchange. My main findings are as follows. First, PIN is positively associated with cross-shareholdings for Japanese firms after controlling for other determinants of information asymmetry. Second, individuals' trading is so naive as if they use nothing other than the information released at the time of earning announcement, while institutions' trading is so sophisticated. Finally, the information asymmetry for firms disclosing management earnings forecasts at the time of earning announcement is lower than those for non-disclosing firms and the result is primarily caused by lowering the incentives to search for private information. This finding suggests that simultaneously reporting the actual earnings along with the management earnings forecast leads to reductions in information asymmetry among investors.