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The Earnings Announcement Premium And Trading Volume
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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.
Book Synopsis The High-Volume Return Premium and Post-Earnings Announcement Drift by : Alina Lerman
Download or read book The High-Volume Return Premium and Post-Earnings Announcement Drift written by Alina Lerman and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship among trading volume around earnings announcements, earnings forecast errors, and subsequent returns. Prior research finds a positive relation between earnings announcement period trading volume and subsequent returns (the high-volume return premium) and between earnings forecast errors and subsequent returns (post-earnings announcement drift). We find that for a sample of firms followed by analysts these effects are complementary, i.e., each retains incremental ability to predict post-earnings announcement returns. Prior research provides two competing explanations for the high-volume return premium: changes in firm visibility versus differences in risk. We provide evidence that seems to rule out risk-based explanations while supporting the visibility hypothesis.
Book Synopsis Not All Trading Volumes are Created Equal by : Wonseok Choi
Download or read book Not All Trading Volumes are Created Equal written by Wonseok Choi and published by . This book was released on 2008 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine a possible cause for the higher returns realized by stocks that experience high abnormal trading volume around earnings announcements. We find that this earnings announcement volume premium is concentrated in stocks with either large aggregate unrealized capital gains or large aggregate unrealized capital losses. A high volume minus low volume portfolio conditioned on the magnitude of capital gains overhang generates returns as high as 11% per year. These returns are significant and robust to conventional risk adjustments. Our finding suggests that the high returns accruing to high volume stocks are associated with selling pressure, which is independent of fundamentals, coming from a subset of investors who base their selling decisions on the magnitude of unrealized capital gains or losses. The patterns we document also suggest that the well known disposition effect may not hold for stocks with extreme unrealized capital losses and are consistent with recent theoretical and empirical research that shows extreme losses prompt selling.
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 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 “The” Earnings Annoucement Premium and Trading Volume by : Owen A. Lamont
Download or read book “The” Earnings Annoucement Premium and Trading Volume written by Owen A. Lamont and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Earnings Notifications, Investor Attention, and the Earnings Announcement Premium by : Kimball Chapman
Download or read book Earnings Notifications, Investor Attention, and the Earnings Announcement Premium written by Kimball Chapman and published by . This book was released on 2018 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new evidence that investor attention explains positive returns around earnings announcements and reconciles the attention explanation with information-based explanations in the literature. I use earnings notifications, which are attention-grabbing announcements of the upcoming earnings date but otherwise provide little new information. I find positive returns, more EDGAR searches, and higher trading volumes on notification days. I also find that attention and returns around the earnings announcement are lower in the presence of notifications, consistent with notifications attenuating investor attention. I show that attention has its strongest effect on returns in the days immediately following the earnings announcement.
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 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 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 Information Based Trading Surrounding Earnings Announcements by : Joseph Berr Paperman
Download or read book Information Based Trading Surrounding Earnings Announcements written by Joseph Berr Paperman and published by . This book was released on 1997 with total page 370 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 Market Reaction to 10-K and 10-Q Filings to Subsequent Wall Street Journal Earnings Announcements by : Earl Kay Stice
Download or read book The Market Reaction to 10-K and 10-Q Filings to Subsequent Wall Street Journal Earnings Announcements written by Earl Kay Stice and published by . This book was released on 1989 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Information Content of British and Japanese, Annual and Interim Earnings Announcements by : Edwin R. Etter
Download or read book The Information Content of British and Japanese, Annual and Interim Earnings Announcements written by Edwin R. Etter and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper utilizes daily closing prices on the U.S., British and Japanese markets, and daily trading volume on the U.S. market to investigate whether U.S. investors find information content in British and Japanese, annual and interim earnings announcements. When examining the unexpected price reaction, the vector autoregression (VAR) model is used to filter out the price effect of the earnings announcement in the home (non-U.S.) market in order to isolate the price effect generated by U.S. investors. Results of the price analyses indicate that U.S. investors find information content in both British and Japanese earnings announcements. Next, based on the model of Holthausen and Verrecchia (1990), price and trading volume responses are analyzed concurrently to determine the effect of the foreign earnings announcements on U.S. investors' level of informedness and degree of consensus (components of the information content). In general, the analyses indicate that both British and Japanese earnings announcements increase U.S. investors' level of informedness (i.e., decrease their level of uncertainty), and that British and Japanese earnings announcements have a greater impact on U.S. investors' level of informedness than on their degree of consensus.
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 Information Content of British and Japanese Earnings Announcements by : Edwin Roger Etter
Download or read book The Information Content of British and Japanese Earnings Announcements written by Edwin Roger Etter and published by . This book was released on 1992 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Earnings News and the Small Trader by : Charles M. C. Lee
Download or read book Earnings News and the Small Trader written by Charles M. C. Lee and published by . This book was released on 1992 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
