סמינר במימון חשבונאות

Speaker:       Dr. Roy Zuckerman 

Abstract:

 We present evidence consistent with intra-day informed trading prior to after-hours earnings announcements. We form portfolios based on returns during the last 30 minutes of trading prior to earnings announcements and show that firms with higher (lower) pre-earnings announcement returns are more likely to unexpectedly beat (miss) earnings estimates. A long-short trading strategy based on these portfolios generates abnormal returns in excess of 150 basis points for the first post-announcement day. We also find that the effect is limited to a short time period before the release and becomes weaker for longer time frames. The abnormal returns cannot be explained by higher (lower) post-earnings announcement drift, analysts estimates dispersion, expected volatility or earnings and price momentum. We hypothesize that these results are driven by earnings leaks occurring in close proximity to the after-hours earnings announcement. 

 The article will be available for download from the Finance-Accounting seminar website next week:

 http://en-recanati.tau.ac.il/Finance-Accounting-Seminars2015a