Volume, opinion divergence, and returns: A study of post-earnings announcement drift

• 成果类型: Article
• 署名作者: Garfinkel, JA; Sokobin, J
• 署名单位: University of Iowa
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2006.00193.x
• 发表日期: 2006
• 页码: 85-112
• 关键词: TRADING VOLUME; STOCK-PRICE; MARKET; RISK; INFORMATION; momentum; spreads; underreaction; overreaction; explanation

摘要

This paper examines the relationship between post-earnings announcement returns and different measures of volume at the earnings date. We find that post-event returns are strictly increasing in the component of volume that is unexplained by prior trading activity. We interpret unexplained volume as an indicator of opinion divergence among investors and conclude that post-event returns are increasing in ex ante opinion divergence. Our evidence is consistent with Varian [1985], who suggests that opinion divergence may be treated as an additional risk factor affecting asset prices.