This paper aims to investigate who causes post‐announcement drift and whether this drift is observed for various types of news announcements.
Using Finnish share ownership data, the authors examine the trading behavior of foreign and domestic investors during the post‐announcement periods of scheduled earnings and unscheduled non‐earnings announcements.
The results show that the post‐announcement drift exists for both types of news, but only if the news is negative. As a group, foreign investors react first by selling shares of firms reporting negative information. Domestic investors act in the opposite manner.
The results imply that the post‐announcement drift is a special case of a more general post‐disclosure phenomenon and that investor differences (most likely information processing skills) is one likely explanation for its pervasiveness.
