Do Designated Sales Agents in ATM Offerings Exploit Post-Earnings-Announcement Drift? Evidence from Real Estate Investment Trusts
Bibliographic record
Abstract
This paper investigates whether designated sales agents hired to work on the At-the-Market (ATM) offerings act as liquidity traders and arbitrage apparent market inefficiencies such as post-earnings-announcement drift (PEAD). Those sales agents can compete to provide liquidity in the presence of asymmetric information and continuously sell their new equity shares at any time. We find that the supply of liquidity shocks from ATM offerings negatively impacts the cross-section of risk premia. Consistent with the prediction of a dynamic rational expectations model, the well-documented PEAD anomaly disappears in Real Estate Investment Trusts (REITs). When analyzing reversal magnitudes around earnings announcements, we show attenuated return reversals in ATM REITs compared with non-ATM REITs. Furthermore, institutional ownership, institutional herding, and adverse selection cannot explain future returns in firms with good earnings surprises below their expected levels.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".