科学研究
报告题目：Retail Investor Trading and Market Reactions to Earnings Announcements
报告人：曾梓桐
报告时间：2023年12月18日（周一）15:15-16:45
报告地点：劝学楼245
主办单位：东北财经大学会计学院 辽宁省资本市场财务与会计研究生创新与学术交流中心
【报告摘要】
We use trade-level data and exploit retail brokerage outages to examine how retail investors affect the pricing of public earnings information. Retail trading is associated with stronger price responses to earnings news during the earnings announcement (EA) window and greater post-earnings announcement drift (PEAD), but only the EA-window effect is robust to identification using plausibly exogenous outages. Prior to earnings announcements, retail activity is associated with less informative returns, but retail buy-sell imbalance during EAs is not associated with price responses to earnings news. We discuss several potential theories of retail trade in light of our evidence. Overall, results are consistent with a theory of retail traders as noise traders who provide liquidity that can help or hinder the impounding of public earnings news into price, but inferences are complicated because retail traders select to trade on earnings characterized by PEAD, potentially due to attention or overconfidence.
【报告人简介】
曾梓桐，加州大学洛杉矶分校安德森管理学博士研究生。她的研究兴趣集中在产品市场与资本市场，具体来说包括：（1）会计如何改善资本和产品市场利益相关者可获得的信息质量；（2）企业在一个市场（产品市场/资本市场）中的决策如何影响另一个市场。她主要利用大数据做实证研究，并采用机器学习工具来检验会计的经济效应。
【特别提醒】
未经论文作者和主办方允许，严禁将讲座内容录制并公开传播，违者将有可能被追究法律责任。
