Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research

• 成果类型: Article
• 署名作者: Bamber, Linda Smith; Barron, Orie E.; Stevens, Douglas E.
• 署名单位: University System of Georgia; University of Georgia; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; State University System of Florida; Florida State University
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/j.1911-3846.2010.01061.x
• 发表日期: 2011
• 页码: 431-+
• 关键词: regulation fair disclosure; information-content; INVESTORS TRADE; capital-markets; price reactions; STOCK-PRICE; PREDISCLOSURE INFORMATION; analysts information; Audit quality; DISAGREEMENT

摘要

This paper reviews, synthesizes, and critiques the capital market literature examining trading volume around earnings announcements and other financial reports. Our purposes are to assess what we have learned from examining trading volume around these announcements and to suggest directions for future research. We conclude that researchers have yet to realize the potential Beaver identified in 1968 for trading volume to yield unique insights regarding the nature of earnings announcements and other financial reports, and the effects of these announcements on market participants. This state of the literature is attributable to a dearth of volume theory early on, and more recently to a disconnect between theoretical development and empirical research. Thus, we begin by briefly summarizing developments in trading volume theory since Beaver's analysis. We also discuss unique measurement challenges in trading volume research, including identifying appropriate proxies for abnormal trading volume and for individual investors' beliefs. In light of theory and empirical measurement issues, we interpret the current literature and identify directions for future research. We conclude that extant research just scratches the surface of what trading volume can reveal about the characteristics of financial disclosures and the effects of these disclosures on investors.