Trading Volume And Different Aspects Of Disagreement Coincident With Earnings Announcements PDF Download
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| 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 | : Adam Booker |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2018 |
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| ISBN | : |
Download Bulls and Bears Book in PDF, ePub and Kindle
We examine the association between disagreement and trading volume around news events using a novel measure of disagreement that overcomes two challenges Bamber et al. (2011) identify as facing earlier measures. Specifically, we measure disagreement based on heterogenous opinions about firm value of StockTwits users. We find strong results that both pre-existing disagreement and the change in disagreement following the earnings announcement are both associated with trading volume. We next provide novel evidence on the differential effects of attention and disagreement by examining the impact of more influential users in the StockTwits network. We find that disagreement between influential investors is associated with incrementally higher trading volume. Our measure of disagreement generalizes to other news events, consistent with the measure capturing disagreement about firm value, not just the short-term earnings prospects of the firm. Our results provide evidence consistent with the importance of both pre-existing heterogeneity between users of financial statement information and preliminary evidence that disagreement between individuals about financial information can be affected by online social networks.
| Author | : Orie E. Barron |
| Publisher | : |
| Total Pages | : 53 |
| Release | : 2016 |
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| 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 | : Alina Lerman |
| Publisher | : |
| Total Pages | : 63 |
| Release | : 2019 |
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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 | : Richard A. Schneible Jr. |
| Publisher | : |
| Total Pages | : 43 |
| Release | : 2008 |
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| 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 | : Seok Woo Jeong |
| Publisher | : |
| Total Pages | : 117 |
| Release | : 1996 |
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Download Price and Trading Volume Reactions Around Earnings Announcements, an Analytical and Empirical Examination Book in PDF, ePub and Kindle
| Author | : Lindsey A. Gallo |
| Publisher | : |
| Total Pages | : 51 |
| Release | : 2017 |
| Genre | : |
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Download The More We Know About Fundamentals, the Less We Agree on Price Book in PDF, ePub and Kindle
Can an earnings announcement decrease disagreement about fundamentals while simultaneously increasing disagreement about price? Recent theory suggests the presence of short-horizon investors can lead to a polarization of higher-order beliefs about price (i.e., beliefs regarding the opinions of other investors), even as a public announcement reduces disagreement about fundamentals. Using analyst forecast dispersion and implied volatility to proxy for differences of opinion about fundamentals and price, respectively, I find a positive association between the presence of speculative traders and both the likelihood and extent of divergence between changes in price disagreement and earnings disagreement around earnings announcements characterized by decreasing forecast dispersion. Further, using abnormal announcement period volume to measure disagreement about price, I continue to document a positive association between speculation and the extent of divergence. Taken together, these results suggest that higher-order beliefs play an important role in assessing the informativeness of earnings announcements.
| Author | : Anastassia Fedyk |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2018 |
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Download Disagreement After News Book in PDF, ePub and Kindle
This paper explores the long-standing empirical fact of increased trading volume around news releases through the lens of canonical models of gradual information diffusion and differences of opinion. I use a unique dataset of clicks on news by key finance professionals to distinguish between trading among investors who see the news at different times and trading among investors who see the same news but disagree regarding its interpretation. Consistent with gradual information diffusion, dispersion in the timing of investors' attention is strongly predictive of daily volume around earnings announcements and volume within minutes of individual news articles. Furthermore, delayed attention is predictive of minute-level return continuation, daily-level post-earnings-announcement drift, and monthly-level return momentum. Differences of opinion, measured as heterogeneity in the investors clicking on the news, is generally weaker in explaining trading volume around news, but plays a larger role when the news is more textually ambiguous.
| 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 | : Cheng F. Lee |
| Publisher | : Center for PBBEFR & Airiti Press |
| Total Pages | : |
| Release | : 2012-12-01 |
| Genre | : Business & Economics |
| ISBN | : 9866286622 |
Download Advances in Quantitative Analysis of Finance and Accounting (New Series，2012) Vol．10 Book in PDF, ePub and Kindle
Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession.
