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: 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
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