Retail Investor Horizon and Earnings Announcements

Abstract: We examine whether retail investor investment horizons explain earnings-related return patterns. Using StockTwits posts (2010--2021), we classify stocks as long- or short-horizon prior to earnings. We find horizon composition strongly predicts price paths: long-horizon stocks exhibit larger immediate reactions and pronounced post-announcement drift compared to short-horizon stocks. A strategy buying long-horizon and shorting short-horizon stocks generates 0.43% monthly alpha. Additionally, elevated pre-event sentiment predicts weaker subsequent performance, particularly for short-horizon stocks. These results confirm that retail horizon composition provides a useful dimension for summarizing systematic variation in earnings returns and extracting information from retail activity.