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.
Download or read book Individual and Institutional Trading Volume Around Firm Specific Announcements written by Priyantha Mudalige and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the immediate impact of firm-specific announcements on the trading volume of individual and institutional investors on the Australian Securities Exchange (ASX). Institutional investors exhibit abnormal trading volume before and after announcements. However, individual investors indicate abnormal trading volume only after announcements. Consistent with outcomes expected from a dividend washing strategy, abnormal trading volume around dividend announcements is statistically insignificant. Both individual and institutional investors' buy volumes are higher than sell volumes before and after scheduled and unscheduled announcements. Our results add to the understanding of individual and institutional investors' trading behaviour around firm-specific announcements in a securities market with continuous disclosure.
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.
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:
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.
Download or read book Handbook of High Frequency Trading written by Greg N. Gregoriou and published by Academic Press. This book was released on 2015-02-05 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. They also create contexts, explaining the historical rise of automated trading systems, corresponding technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy. Answers all questions about high frequency trading without being limited to mathematical modelling Illuminates market dynamics, processes, and regulations Explains how high frequency trading evolved and predicts its future developments
Download or read book Special Issue on Fragmented Markets written by P. Joakim Westerholm and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Cover -- Editorial advisory board -- Guest editorial -- Price discovery and convergence in fragmented securities markets -- Short sales and price discovery of Chinese cross-listed firms -- Individual and institutional trading volume around firm-specific announcements -- The impact of institutional trading on liquidity and volatility during the financial crisis
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.
Download or read book Does Trading Volume Increase Or Decrease Prior To Earnings Announcements written by Sangwan Kim and published by . This book was released on 2016 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Anticipating Uncertainty written by Chao Gao and published by . This book was released on 2017 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: Straddles on individual stocks generally earn significantly negative returns. However, average at the money straddles from three days before an earnings announcement to the announcement date yield a highly significant 3.34% return. The positive returns on straddles indicate that investors under-estimate the magnitude of uncertainty around earnings announcements. We find positive straddle returns are more pronounced for smaller firms, firms with higher volatility, higher kurtosis, more volatile past earnings surprises and less trading volume/higher transaction costs. This suggests that when firm signals are noisy, and/or when it is costlier to trade, investors underestimate the uncertainty associated with earnings announcements.
Download or read book Stock Market Liquidity written by François-Serge Lhabitant and published by John Wiley & Sons. This book was released on 2008-01-09 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Download or read book Investment Strategies in Emerging New Trends in Finance written by Reza Gharoie Ahangar and published by BoD – Books on Demand. This book was released on 2021-04-14 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment and portfolio strategies are some of the most exciting topics in finance. This book presents the most up-to-date topics and techniques in finance to facilitate the investment process for researchers and investors in selecting appropriate investment strategies with the emergence of new issues and concepts in financial areas. This book contains nine chapters divided into three sections: The first section, “Investment and Portfolio Strategies,” discusses different investment strategies in portfolio selection. The second section, “Behavioral Finance and Investment Decisions,” examines the application of behavioral finance in investment decisions. The last section, “Emerging New Trends in Finance,” includes some new and interesting finance topics that can depict our vision for the future arena of finance.
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:
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.
Download or read book A Tea Reader written by Katrina Avila Munichiello and published by Tuttle Publishing. This book was released on 2017-03-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Tea Reader contains a selection of stories that cover the spectrum of life. This anthology shares the ways that tea has changed lives through personal, intimate stories. Read of deep family moments, conquered heartbreak, and peace found in the face of loss. A Tea Reader includes stories from all types of tea people: people brought up in the tea tradition, those newly discovering it, classic writings from long-ago tea lovers and those making tea a career. Together these tales create a new image of a tea drinker. They show that tea is not simply something you drink, but it also provides quiet moments for making important decisions, a catalyst for conversation, and the energy we sometimes need to operate in our lives. The stories found in A Tea Reader cover the spectrum of life, such as the development of new friendships, beginning new careers, taking dream journeys, and essentially sharing the deep moments of life with friends and families. Whether you are a tea lover or not, here you will discover stories that speak to you and inspire you. Sit down, grab a cup, and read on.
Download or read book Investor Inattention Firm Reaction and Friday Earnings Announcements written by Stefano Della Vigna and published by . This book was released on 2005 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do firms release news strategically in response to investor inattention? We consider news about earnings and analyze the response of returns to announcements on Friday and other weekdays. Friday announcements have less immediate and more delayed stock return response. The delayed response as a percentage of the total response is 60 percent on Friday and 40 percent on other weekdays. In addition, abnormal trading volume around announcement day is 10 percent lower for Friday announcements. These findings suggest that weekends distract investor attention temporarily. They support explanations of post-earning announcement drift based on underreaction to information caused by limited attention. We also document that firms release worse announcements on Friday. Friday announcements are associated with a 45 percent higher probability of a negative earnings surprise and a 50 basis points lower abnormal return. The firm-based evidence of strategic news release corroborates the investor-based evidence of inattention on Friday. The results for stock returns, volume, and strategic behavior support the hypothesis of limited attention.
Download or read book Advances in Quantitative Analysis of Finance and Accounting New Series Vol 15 written by Cheng F. Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2017-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
