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| Author | : Richard A. Schneible Jr. |
| Publisher | : |
| Total Pages | : 43 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download The Changing Nature of Trading Volume Reactions to Earnings Announcements Book in PDF, ePub and Kindle
We document a change in the nature of trading volume reactions to quarterly earnings announcements over the time period 1976-2005. Consistent with Landsman and Maydew (2002), we find that the magnitude of abnormal trading volume around quarterly earnings announcements has increased over time and that this increase is greater for large firms than small firms. We show, however, that this trend has reversed the negative relation between firm size and trading volume documented by Bamber (1987). Applying insights from recent trading volume theory, we predict and provide evidence that the increase in abnormal trading volume across time and firm size is due to increases in pre-announcement private information. Specifically, we show that the component of abnormal trading volume associated with price change, which theory suggests reflects pre-announcement private information, is increasing across time and firm size. Our results suggest that investors are motivated to acquire private information prior to earnings announcements about firms that have relatively high quality information environments. Thus, our results have implications for policies aimed at reducing information asymmetry between investors by increasing public disclosure.
| Author | : Orie E. Barron |
| Publisher | : |
| Total Pages | : 53 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download The Changing Behavior of Trading Volume Reactions to Earnings Announcements Book in PDF, ePub and Kindle
The increase in investor diversity over the last 35-40 years (ICI 2014) prompted us to revisit trading volume reactions to earnings announcements and how these reactions vary with firm size. This increase in investor diversity would likely lead to an increase in differences in the precision of pre-announcement information and potentially increase the importance of earnings announcements to resolve investor disagreement. We find that the nature of trading volume reactions to earnings announcements has fundamentally changed over the 35-year time period 1977-2011. There has been a dramatic increase in the magnitude and frequency of volume reactions to earnings announcements over this time period, and this effect is more pronounced in large firms where volume reactions were previously infrequent. The increase in large firms' trading volume reactions is so pronounced that the relation between volume reactions and firm size has turned positive in recent years, thereby reversing Bamber's (1986, 1987) previously documented negative relation. We provide intuition and empirical evidence that our results are attributable to the resolution of differential prior precision among an increasingly diverse set of investors following large firms.
| Author | : Linda Smith Bamber |
| Publisher | : |
| Total Pages | : |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
Download Trading Volume and Different Aspects of Disagreement Coincident with Earnings Announcements Book in PDF, ePub and Kindle
This paper investigates the association between disagreement coincident with earnings announcements and investors' trading decisions. Theory suggests that trading volume arises because of investor disagreement, but disagreement is a multi-faceted construct. We find that three distinctlydifferent aspects of disagreement each play an incremental role in explaining trading volume around earnings announcements, even after controlling for the magnitude of the contemporaneous price change. These aspects of disagreement are: dispersion in prior beliefs, divergence in beliefs, and belief jumbling. Dispersion in prior beliefs is the cross-sectional variation in expectations before the earnings announcement, divergence in beliefs is the change in the dispersion in beliefs, and belief jumbling occurs when investors' beliefs change positions relative to each other. Our results indicate that each of these three aspects of disagreement coincident with earnings announcements affects investors' real economic (i.e., trading) decisions.
| Author | : Alina Lerman |
| Publisher | : |
| Total Pages | : 63 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Rethinking Determinants of Trading Volume at Earnings Announcements Book in PDF, ePub and Kindle
Theory offers three main determinants of informationally driven trading volume at earnings announcements: pre-announcement difference in private information precision, belief divergence or differential interpretation, and signal strength. In this paper, we empirically test which theoretical determinants best explain earnings announcement volume conditional on the level of earnings news. We first document that, consistent with signal strength, there is a strong positive (negative) association between volume and both contemporaneous and immediately preceding returns for good (bad) earnings news. Next, we explicitly test the association between volume and various proxies for its three theorized determinants conditional on earnings news. We find that trading volume is highly associated with upward (downward) contemporaneous analyst revisions in the presence of good (bad) earnings news. It is also associated with future earnings surprises, the F-score, and the change in shares shorted, especially for good news firms. Volume is moderately associated with proxies of belief divergence, particularly for bad and neutral news firms. Finally, proxies for pre-announcement difference in private information precision do not appear to significantly explain trading volume for any level of earnings news. Examining financial press data we document an association between abnormal volume and coverage of a multitude of news items. Taken together, our results suggest that trading volume at earnings announcements is more reflective of the quantity and quality of information released, but its dynamics significantly vary with the nature of the disclosed news.
| Author | : Seok Woo Jeong |
| Publisher | : |
| Total Pages | : 117 |
| Release | : 1996 |
| Genre | : |
| ISBN | : |
Download Price and Trading Volume Reactions Around Earnings Announcements, an Analytical and Empirical Examination Book in PDF, ePub and Kindle
| Author | : Ivo Ph Jansen |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Do Earnings Announcements Affect Trading Volume? The Role of Speculators Book in PDF, ePub and Kindle
This study documents that total market volume is almost entirely unrelated to intertemporal variation in the number of earnings announcements. Thus, while individual earnings announcements, on average, significantly impact trading volume (e.g., Beaver, 1968), in aggregate this impact is minimal. We provide evidence that this seeming inconsistency is reconciled by the very large presence of speculators in the market, who trade around information events not for what those say about intrinsic values, but for the short-term price momentum they generate.
| Author | : Doron Israeli |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Trading Volume Reactions to Earnings Announcements and Future Firm Performance Book in PDF, ePub and Kindle
I investigate whether firms with higher abnormal trading volume (ATV) around earnings announcements (EAs) outperform those with lower ATV over the short and long terms following the EA. In addition, I address whether any positive relation between ATV around EAs and future firm performance is weaker for firms with a higher proportion of shares held by sophisticated investors. Consistent with theories that attribute ATV around public announcements primarily to differing investor interpretations of the news and that link differential interpretation to future returns, I find that, for several years after an EA, firms in the highest decile of ATV significantly outperform those in the lowest decile. Further, I find that ATV and earnings surprises explain future returns incremental to the three Fama and French (1993) and momentum risk-factors. Next, consistent with the proportion of ATV driven by lack of consensus regarding the price being lower when the presence of rational investors is higher, I document that the level of investor sophistication-a proxy for investor rationality-attenuates the positive relation between ATV and future returns. Taken together, my study lends support to and links two streams of theories from financial economics, and demonstrates that trading volume reactions to EAs provide information about future returns and firm financial performance that cannot be deduced from the price reactions or the magnitudes of earnings surprises. My study also documents that the positive relation between ATV and future firm performance is sensitive to the level of security holdings of sophisticated investors.
| Author | : John G. Cragg |
| Publisher | : University of Chicago Press |
| Total Pages | : 185 |
| Release | : 2009-05-15 |
| Genre | : Business & Economics |
| ISBN | : 0226116727 |
Download Expectations and the Structure of Share Prices Book in PDF, ePub and Kindle
John G. Cragg and Burton G. Malkiel collected detailed forecasts of professional investors concerning the growth of 175 companies and use this information to examine the impact of such forecasts on the market evaluations of the companies and to test and extend traditional models of how stock market values are determined.
| Author | : Seok Woo Jeong |
| Publisher | : |
| Total Pages | : 294 |
| Release | : 1996 |
| Genre | : |
| ISBN | : |
Download Price and Trading Volume Reactions Around Earnings Announcement Book in PDF, ePub and Kindle
| Author | : Sangwan Kim |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Does Trading Volume Increase Or Decrease Prior To Earnings Announcements? Book in PDF, ePub and Kindle
This paper reports two empirical regularities regarding trading volume prior to earnings announcements. The literature suggests that discretionary liquidity traders postpone their equity trading until firms publicly announce earnings due to high information asymmetry before anticipated information events. Our first finding is that pre-announcement trading volume increases for firms with high analyst coverage. Our second finding is that preannouncement trading volume decreases for firms with low analyst coverage and trading volume prior to bad news is lower than good news earnings announcements. Our findings suggest that the intensity of analyst activity and the nature of mandatory earnings news jointly determine the direction and magnitude of pre-announcement trading volume. We contribute to the literature by showing that analysts' information discovery (temporarily pushed back trading demand) prior to earnings announcements may understate (overstate) the magnitude of a short-window trading volume reaction to earnings announcements as measures of information content for firms with high (low) analyst coverage.
