When two anomalies meet: Volume and timing effects on earnings announcements

This study investigates the joint effect of trade volume and report timing on earnings-announcement premiums. We find that high trading volume effect adds to early announcement effect but not vice versa. After controlling for firm characteristics, late timing and high trade volume have a positive joint effect; stocks with late announcements and low trade volume earn the largest but short-lived premium. We cannot find evidence to support the notion that early announcements result in superior premiums; the unusual volume effect is much greater in magnitude, longevity, and significance than the timing effect.