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| Main Author: | |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2512.00280 |
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| _version_ | 1866911303417724928 |
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| author | Vamossy, Domonkos F. |
| author_facet | Vamossy, Domonkos F. |
| contents | This paper moves beyond aggregate measures of retail intensity to explore investment horizon as a distinguishing feature of earnings-related return patterns. Using self-reported holding periods from StockTwits (2010-2021), we observe that separating retail activity into "long-horizon" and "short-horizon" cohorts reveals divergent price anomalies. Long-horizon composition is associated with underreaction, characterized by larger initial reactions and pronounced Post-Earnings Announcement Drift (PEAD), suggesting a slow but persistent convergence toward fundamental value. In contrast, short-horizon activity parallels sentiment-driven overreaction, where elevated pre-event sentiment precedes weaker subsequent performance and price reversals. A zero-cost strategy exploiting this heterogeneity, going long on long-horizon stocks and short on short-horizon stocks, yields risk-adjusted alphas of 0.43% per month. These findings suggest that accounting for investment horizon helps disentangles the fundamental signal in retail flow from speculative noise. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_00280 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Retail Investor Horizon and Earnings Announcements Vamossy, Domonkos F. Pricing of Securities This paper moves beyond aggregate measures of retail intensity to explore investment horizon as a distinguishing feature of earnings-related return patterns. Using self-reported holding periods from StockTwits (2010-2021), we observe that separating retail activity into "long-horizon" and "short-horizon" cohorts reveals divergent price anomalies. Long-horizon composition is associated with underreaction, characterized by larger initial reactions and pronounced Post-Earnings Announcement Drift (PEAD), suggesting a slow but persistent convergence toward fundamental value. In contrast, short-horizon activity parallels sentiment-driven overreaction, where elevated pre-event sentiment precedes weaker subsequent performance and price reversals. A zero-cost strategy exploiting this heterogeneity, going long on long-horizon stocks and short on short-horizon stocks, yields risk-adjusted alphas of 0.43% per month. These findings suggest that accounting for investment horizon helps disentangles the fundamental signal in retail flow from speculative noise. |
| title | Retail Investor Horizon and Earnings Announcements |
| topic | Pricing of Securities |
| url | https://arxiv.org/abs/2512.00280 |