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Individual investors' trading responses to accounting disclosures: A re-examination.

机译：个人投资者对会计披露的交易反应：重新检查。

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摘要

A large amount of prior research that aim at understanding how individual investors respond to accounting disclosures uses transaction sizes to differentiate between small/individual and large/institutional investors. Recent studies have found that certain institutions are heavily involved in small size transactions. The analysis of individual investor trading based on transaction sizes erroneously draws inferences related to the small size transactions of institutional investors instead of transactions of individual investors. I re-investigate several fundamental issues using a comprehensive dataset of individual investor trading on the NYSE. First, I find that for individual investors there is a high concentration of trading around the earnings announcements and that the concentration is significantly higher than what is seen for the overall market. This finding is inconsistent with Cready [Journal of Accounting Research, 1-27 (1988)] which interprets the increase of the mean transaction size during the announcement periods as evidence that large/institutional investors find earnings information relatively more valuable than small/individual investors. Second, I show that individual investors' buying is more concentrated than their selling which supports Lee [Journal of Accounting and Economics, 15(2-3), 265-302 (1992)]'s finding that individual investors are particularly prone to buying during the earnings announcement periods. Third, I do not find a significant positive association between individual investor abnormal trading and the magnitude of seasonal random-walk forecast errors during the announcement periods. This is inconsistent with Bhattacharya [The Accounting Review, 76(2), 221-244, (2001)] which shows a positive association between abnormal small size transactions and the magnitude of random-walk forecast errors, and interprets the finding as evidence that individual investors rely on seasonal random-walk model to form earnings expectations. Fourth, my analysis finds no evidence of the negative relation between 10K complexity and individual investor trading activity documented in Miller [ The Accounting Review, 85(6), 2107-2143, (2010)].
机译：大量旨在了解个人投资者如何对会计披露作出反应的先前研究使用交易规模来区分小型/个人投资者与大型/机构投资者。最近的研究发现，某些机构大量参与小型交易。基于交易规模的个人投资者交易分析错误地得出了与机构投资者的小规模交易有关的推论，而不是与个人投资者的交易有关的推论。我使用纽约证券交易所个人投资者交易的综合数据集重新调查了几个基本问​​题。首先，我发现对于个人投资者来说，收益公告周围的交易高度集中，而且这一集中度明显高于整个市场的水平。这一发现与Cready [Journal of Accounting Research，1-27（1988）]不一致，后者将公告期间的平均交易规模解释为证据，表明大型/机构投资者发现收益信息比小型/个人投资者相对更有价值。 。其次，我证明个人投资者的购买比他们的出售更集中，这支持了李[Journal of Accounting and Economics，15（2-3），265-302（1992）]的发现，个人投资者特别容易购买在收益公告期间。第三，在公告期间，我发现个人投资者的异常交易与季节性随机游走预测误差的大小之间没有显着的正相关关系。这与Bhattacharya [The Accounting Review，76（2），221-244，（2001）]不一致，该研究表明异常小额交易与随机游走预测误差的大小之间存在正相关，并将此发现解释为证据，个人投资者依靠季节性随机游走模型来形成收益预期。第四，我的分析没有发现Miller [The Accounting Review，85（6），2107-2143，（2010）]中记录的1万复杂度与个人投资者交易活动之间存在负相关关系的证据。

著录项

  • 作者

    Wang, Weiwei.;

  • 作者单位

    The University of Texas at Dallas.;

  • 授予单位 The University of Texas at Dallas.;
  • 学科 Accounting.
  • 学位 Ph.D.
  • 年度 2016
  • 页码 106 p.
  • 总页数 106
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 康复医学;
  • 关键词

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