INVESTORS' OPINION DIVERGENCE AND POST-EARNINGS ANNOUNCEMENT DRIFT IN REITS

摘要

In this study, we examine whether investors' opinion divergence has explanatory power for post-earnings announcement drift in equity real estate investment trusts (RBITs). We measure investors' opinion divergence using abnormal trading turnover around the earnings announcement date. Our results show that investor opinion divergence is positively related to the REIT post-earnings announcement drift (PEAD) after controlling for the effects of earnings surprise, initial market reaction to the announcement, firm size, and risk. Further analysis shows that the effect of investor opinion divergence on the REIT PEAD is asymmetric. The effect exists for negative earnings surprises but not for positive earnings surprises.