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

被引：3

作者：

Wong, Mark ^{[1
]}

Wai Kong Cheung, Adrian ^{[2
]}

Hu, Wei ^{[1
]}

机构：

[1] Curtin Univ, Sch Econ Finance & Property, Dept Finance & Banking, Perth, WA 6102, Australia

[2] City Univ Macau, Fac Finance, Taipa, Macao, Peoples R China

来源：

FINANCIAL REVIEW | 2021年 / 56卷 / 02期

关键词：

announcement premium; announcement timing; earnings announcement; trade volume; INFORMATION-CONTENT; CROSS-SECTION; STOCK RETURNS; RISK; DIVERGENCE; SURPRISES; OPINION; ANALYST; DRIFT;

D O I：

10.1111/fire.12255

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：355 / 380

页数：26