TRADING VOLUME REACTIONS TO ANNUAL ACCOUNTING EARNINGS ANNOUNCEMENTS - THE INCREMENTAL ROLE OF PREDISCLOSURE INFORMATION ASYMMETRY

• 成果类型: Article
• 署名作者: ATIASE, RK; BAMBER, LS
• 署名单位: University System of Georgia; University of Georgia; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/0165-4101(94)90031-0
• 发表日期: 1994
• 关键词: price; BEHAVIOR; heteroskedasticity; forecasts; tests; size

摘要

This study provides empirical evidence regarding the effect of annual accounting earnings announcements on investors' trading behavior. We find that the magnitude of trading volume reaction is an increasing function of both the magnitude of the associated price reaction and the level of predisclosure information asymmetry. These results are consistent with Kim and Verrecchia's (1991a) theoretical trading volume proposition.