Chulalongkorn University Theses and Dissertations (Chula ETD)

Year (A.D.)

2019

Document Type

Independent Study

First Advisor

Roongkiat Ratanabanchuen

Faculty/College

Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline

Finance

DOI

10.58837/CHULA.IS.2019.53

Abstract

This study examines the difference in trading behaviors around earnings announcement period across three types of investors in Thailand stock market; Individual, institutional and foreign investors, and also the relationship between their trading behaviors and the stock return patterns before and after announcement periods. The results using trading data of stocks in SET100 during 2013-2017 show that there is persistence of stock price after earnings announcements in the same direction of earnings surprise. In term of trading behavior, before earnings announcement, we find that there is no trading pattern for all investor types and the pre-announcement trading flows has no correlation with future earnings surprise. After earnings announcement, there are clear difference in trading behavior in response to earnings news. Individual investors trade in the opposite direction to earning surprise which slows down the stock price adjustment on earnings information. Conversely, foreign investors appear to trade in the same direction of earnings information and exploit abnormal return from price drift to their advantage. While institutional investors has unclear trading pattern in response to earnings surprise, but they trade in momentum-following pattern by trading in the same direction of recent return prior to earnings announcement. Moreover, we find that individual investors’ news-contrarian trading pattern has strong positive relationship with the magnitude of post-earning announcement drift. The magnitude of price drift following the same direction of earnings surprise become higher when individual investors trade more in the opposite direction of earnings surprise. We also find that the price drift tend to occur when institutional and foreign investor trade in the same direction of earnings surprise.

Share

COinS
 
 

To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.