The Calm before the Storm

• 成果类型: Article
• 署名作者: Akbas, Ferhat
• 署名单位: University of Kansas
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12377
• 发表日期: 2016
• 页码: 225-266
• 关键词: EARNINGS ANNOUNCEMENT DRIFT; Expected stock returns; institutional investors; trading volume; private information; MOMENTUM STRATEGIES; price adjustment; cross-section; opinion; MARKET

摘要

I provide evidence that stocks experiencing unusually low trading volume over the week prior to earnings announcements have more unfavorable earnings surprises. This effect is more pronounced among stocks with higher short-selling constraints. These findings support the view that unusually low trading volume signals negative information, since, under short-selling constraints, informed agents with bad news stay by the sidelines. Changes in visibility or risk-based explanations are insufficient to explain the results. This evidence provides insights into why unusually low trading volume predicts price declines.