Arbitrageurs and overreaction to earnings surprises

被引：1

作者：

Contreras, Harold ^{[1
]}

Marcet, Francisco ^{[2
]}

机构：

[1] Univ Chile, Sch Econ & Business, Dept Management Control & Informat Syst, Diagonal Paraguay 257, Santiago, Chile

[2] Univ Chile, Sch Econ & Business, Dept Business Adm, Diagonal Paraguay 257, Santiago, Chile

来源：

FINANCE RESEARCH LETTERS | 2021年 / 43卷

关键词：

Arbitrage; Short covering; Momentum traders; Earnings announcements; EFFICIENCY; ANOMALIES; SHORTS;

D O I：

10.1016/j.frl.2021.101994

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper explores whether arbitrage trades could cause overreaction to earnings announcements. We contrast two hypotheses in a horse race: (1) whether short covering over positive news stocks generates overshooting in stock returns; (2) whether momentum traders trying to arbitrage the post-earnings announcements drift cause overreaction. We find evidence in line with the two hypotheses, but the overshooting is stronger for stocks with high covering. Also, we find that short sellers spot this overreaction and trade these stocks intensively. However, they trade more stocks with high short covering, suggesting that short sellers close their positions quickly to open new ones.

引用

页数：10

共 18 条

[1] Trading volume: NASDAQ and the NYSE [J].