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A Theory Of Trading Volume Around Earnings Announcements
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Book Synopsis A Theory of Trading Volume Around Earnings Announcements by : Seok Woo Jeong
Download or read book A Theory of Trading Volume Around Earnings Announcements written by Seok Woo Jeong and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Kim and Verrecchia (1994) provide a model of trade to explain trading volume around public disclosure which is assumed to be earnings announcement. However, their characterization of information is too general and has no relationship with the accounting information structure. Ohlson (1995) provides a fundamental valuation model that exploits the accounting relationship of earnings, book value, and dividends, but no implication can be made on the trading volume around earnings announcements from his model. We impose an information structure on the Kim and Verrecchia (1994) model whereby some market participants estimate fundamental value of the firm according to Ohlson's (1995) valuation model but differ in their assessment of permanent and transitory components of earnings. Our results demonstrate a positive relation between abnormal earnings and both trading volume and price changes around earnings announcements.
Book Synopsis The Changing Nature of Trading Volume Reactions to Earnings Announcements by : Richard A. Schneible Jr.
Download or read book The Changing Nature of Trading Volume Reactions to Earnings Announcements written by Richard A. Schneible Jr. and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Trading Volume and Different Aspects of Disagreement Coincident with Earnings Announcements by : Linda Smith Bamber
Download or read book Trading Volume and Different Aspects of Disagreement Coincident with Earnings Announcements written by Linda Smith Bamber and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Trading on Corporate Earnings News by : John Shon
Download or read book Trading on Corporate Earnings News written by John Shon and published by FT Press. This book was released on 2011-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades—in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies’ quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks–and, in some cases, conduct large sample tests–to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.
Book Synopsis Price and Trading Volume Reactions Around Earnings Announcements, an Analytical and Empirical Examination by : Seok Woo Jeong
Download or read book Price and Trading Volume Reactions Around Earnings Announcements, an Analytical and Empirical Examination written by Seok Woo Jeong and published by . This book was released on 1996 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Rethinking Determinants of Trading Volume at Earnings Announcements by : Alina Lerman
Download or read book Rethinking Determinants of Trading Volume at Earnings Announcements written by Alina Lerman and published by . This book was released on 2019 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Trading Volume Reactions to Earnings Announcements and Future Firm Performance by : Doron Israeli
Download or read book Trading Volume Reactions to Earnings Announcements and Future Firm Performance written by Doron Israeli and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Price and Trading Volume Reactions Around Earnings Announcement by : Seok Woo Jeong
Download or read book Price and Trading Volume Reactions Around Earnings Announcement written by Seok Woo Jeong and published by . This book was released on 1996 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis BID-ASKS AROUND EARNINGS ANNOUNCEMENTS: EVIDENCE FROM THE NASDAQ NATIONAL MARKET SYSTEM by : DOUGLAS J. SKINNER
Download or read book BID-ASKS AROUND EARNINGS ANNOUNCEMENTS: EVIDENCE FROM THE NASDAQ NATIONAL MARKET SYSTEM written by DOUGLAS J. SKINNER and published by . This book was released on 1993 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Changing Behavior of Trading Volume Reactions to Earnings Announcements by : Orie E. Barron
Download or read book The Changing Behavior of Trading Volume Reactions to Earnings Announcements written by Orie E. Barron and published by . This book was released on 2016 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Do Earnings Announcements Affect Trading Volume? The Role of Speculators by : Ivo Ph Jansen
Download or read book Do Earnings Announcements Affect Trading Volume? The Role of Speculators written by Ivo Ph Jansen and published by . This book was released on 2015 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Expectations and the Structure of Share Prices by : John G. Cragg
Download or read book Expectations and the Structure of Share Prices written by John G. Cragg and published by University of Chicago Press. This book was released on 2009-05-15 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Earnings Announcements, Asymmetric Information, Trades and Quotes by : Jean-Francois Gajewski
Download or read book Earnings Announcements, Asymmetric Information, Trades and Quotes written by Jean-Francois Gajewski and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically analyses trades and quotes around the times of 37 earnings announcements in the Paris Bourse. We find that trading volume is larger on announcement days, spreads are wider after announcements, and the permanent positive (resp. Negative) price impact of purchases (sales) is greater around announcements. While the findings pertaining to the spread and the permanent impact of trades are consistent with the view that earnings announcements correspond to an increase in information asymmetries, the result that trading volume is larger suggests that other effects are at work.
Book Synopsis Trading Volume Around Firm-Specific Announcements by : Priyantha Mudalige
Download or read book Trading Volume Around Firm-Specific Announcements written by Priyantha Mudalige and published by . This book was released on 2013 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the impact of timing of the release of firm-specific announcements on trading volume of individual and institutional investors. We use trading data in five-minute intervals to capture the immediate impact of announcements on the trading volume. We find that individual investors exhibit positive and significant abnormal volume prior to, issued capital announcements and after earnings announcements. However, institutions exhibit significant and positive abnormal volume prior to, and after earnings, periodic and issued capital announcements. Notably, both individual and institutional investors do not exhibit significant abnormal volume prior to, and after dividend announcements. Furthermore, individual (institutional) investors' buy (sell) volume is significantly higher than sell (buy) volume prior to, and after scheduled and unscheduled announcements. Our results suggest that timing of the release of firm-specific announcements influences investor trading volume.
Book Synopsis Trading volume and earnings announcements by : William P. Rees
Download or read book Trading volume and earnings announcements written by William P. Rees and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effect of Earnings Announcements on Trading Outcomes for Different Investor Classes by : James Dale Vincent
Download or read book The Effect of Earnings Announcements on Trading Outcomes for Different Investor Classes written by James Dale Vincent and published by . This book was released on 2010 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Earnings Announcement Premium and Trading Volume by : Owen A. Lamont
Download or read book The Earnings Announcement Premium and Trading Volume written by Owen A. Lamont and published by . This book was released on 2007 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.
