A TEST OF RISK CLIENTELE EFFECTS VIA AN EXAMINATION OF TRADING VOLUME RESPONSE TO EARNINGS ANNOUNCEMENTS

• 成果类型: Article
• 署名作者: KROSS, W; HA, GL; HEFLIN, F
• 署名单位: University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/0165-4101(94)90019-1
• 发表日期: 1994
• 关键词: Systematic risk; Dividend policy; stock returns; INFORMATION; BETAS; price

摘要

This research investigates whether volume reactions to a public announcement are related to changes in the risk of securities (i.e., investors undertake portfolio rebalancing when the risk of their portfolio becomes misaligned with their respective risk preferences). Our results document that an average (40 percent) change in beta is associated with a 0.10 percent increase in the number of shares traded in a ten-day period around the earnings announcement. Although risk clientele effects are less important than information effects, they are empirically significant.