Earnings Announcements
http://www.cqa.org/uploads/papers/1287938062443d2a80c3515.ppt#298,22,Abnormal
There are abnormal order flows around announcement dates but most of these are by small traders (<$5000 per trade?).
Small buys go way up on announcement days. Institutions buy BEFORE announcement days, expecting buying pressure (to partially arbitrage). These buying pressures are from small investors. Buying pressures mean prices go up.
There is a BIG earnings announcement premium (observed by: earnings announcements correlated with higher volumes and higher volumes lead to higher premiums)
Sam: is reverse true of selling pressure? No doubt!
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