The Earnings Announcement Premium and Trading Volume,
NBER Working Paper No. 13090 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. This paper is available as PDF (180 K) or via emailA non-technical summary of this paper is available in the March 2008 NBER Digest.
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Machine-readable bibliographic record - MARC, RIS, BibTeX Document Object Identifier (DOI): 10.3386/w13090 Users who downloaded this paper also downloaded* these:
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