Do Earnings Announcements Affect Trading Volume? The Role of Speculators

46 Pages Posted: 18 Nov 2015

Date Written: October 31, 2015

Abstract

This study documents that total market volume is almost entirely unrelated to intertemporal variation in the number of earnings announcements. Thus, while individual earnings announcements, on average, significantly impact trading volume (e.g., Beaver, 1968), in aggregate this impact is minimal. We provide evidence that this seeming inconsistency is reconciled by the very large presence of speculators in the market, who trade around information events not for what those say about intrinsic values, but for the short-term price momentum they generate.

Suggested Citation

Jansen, Ivo Ph. and Nikiforov, Andrei L., Do Earnings Announcements Affect Trading Volume? The Role of Speculators (October 31, 2015). Available at SSRN: https://ssrn.com/abstract=2692035 or http://dx.doi.org/10.2139/ssrn.2692035

Ivo Ph. Jansen (Contact Author)

Rutgers University ( email )

227 Penn. St
Camden, NJ 08102
United States
856-225-6696 (Phone)

Andrei L. Nikiforov

Rutgers University ( email )

Camden, NJ 08102
United States
856-225-6594 (Phone)

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