Abstract

　　In our research, we investigate the information asymmetry and investors’ behavior around earnings announcements from June 1999 to January 2005 on TSE. Second, we further research these two topics to good- and bad-news. The third part design is focus on investor’s behavior to see whether they exhibit increasing reaction in same-type series of surprises.
　　The empirical results show that earnings announcements reduce information asymmetry once earnings going public. It implies that the relationship between public and private information is substitute. Besides, Bad-news firms have higher information asymmetry than good-news firms. These results support our former hypotheses and the finding of prior researches.
　　When we look at investors’ behavior, small traders exhibit attention buying behavior around announced dates, whether the news is good or bad. After comparing the reaction of small and large traders, small traders show stronger reaction than large traders. These interesting results support our hypotheses and make us to think the linkage of these topics. Although the degree of reaction in consecutive earnings surprises isn’t significant, we still observe their learning behavior in a same-type series, especially for large traders. Large traders begin to exhibit reversal reaction on the third surprises significantly. Our results imply that small traders tend to be uninformed traders to provide liquidity to the market and don’t have enough ability to hold precise information as large traders.

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