Informed trading and earnings announcement driven disagreement in global markets

Abstract Based on the intraday data in 30 countries, this paper first discovers that investor opinions diverge after a financial disclosure in global markets, which is termed earnings announcement driven disagreement. Next, we document that event-period informed trading is negatively associated with earning announcement driven disagreement. Moreover, such an inverse relation remains stable for various robustness checks. Combined, these findings suggest that informed traders producing private information during an earnings announcement would delay their trades and, thus, lead to greater post-event disagreement. This is in line with the argument that consensus drops as trading on private information rises ( Holthausen & Verrecchia, 1990 ). Finally, we demonstrate that information asymmetry and investor attention play a role in moderating this association.