Research Paper 11: Selling over Earnings Announcements

Investment skill in selling decisions

Inalytics co-authored academic paper, Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors, uncovered the alpha destroying trend of poor selling made by fund managers.

An additional insight of the paper was that selling decisions made after earnings announcements were significantly better than when taken randomly. In this research paper, we drill down further to explore the characteristics behind these investment selling decisions using both our analytical framework and the Inalytics Peer Group database.

What data have Inalytics used in the analysis?

In this study we analyse 271 portfolios from the Inalytics Peer Group database that have daily trades and where the overweights have added value.

To test the hypothesis that selling decisions taken in response to earnings announcements are more successful, we analysed the data in two ways to see if:

1. The proportion of portfolios that added value from these selling decisions is higher than for the Inalytics Peer Group as a whole.

2. Then for each portfolio we investigated whether this subset of selling decisions was more successful than selling as a whole.

Contact us for further information about how Inalytics analyse portfolios and decision making to improve the investment process and help select skilful portfolio managers.