We show that the vast majority of investors ignore value-relevant accruals information when it is first released, but that investors who initiate trades of at least 5,000 shares tend to transact in the proper direction. These investors trade on accruals information only when the...

Post-earnings-announcement drift is the well-documented ability of earnings surprises to predict future stock returns. Despite nearly four decades of research, little has been written about the importance of how earnings surprise is actually measured. We compare the magnitude of the drift when...

This paper investigates the relationship among trading volume around earnings announcements, earnings forecast errors, and subsequent returns. Prior research finds a positive relation between earnings announcement period trading volume and subsequent returns (the high-volume return premium) and...

Prior research suggests that some investors may hold earnings expectations that are biased toward seasonal random walk (SRW) predictions. We provide direct evidence that the net buying activity of small (large) traders around earnings announcements is significantly positively associated with SRW...

The persistence of the post-earnings announcement drift leads many to believe that trading barriers prevent knowledgeable investors from eliminating it. For example, Bhushan (1994) contends that sophisticated investors quickly drive prices to within trading costs of efficient values. We examine...

The Securities and Exchange Commission (SEC) has mandated new disclosure requirements in Form 8-K, which became effective on August 23, 2004. The SEC expanded the list of items that have to be reported and accelerated the timeliness of these reports. This study examines the market reactions to...