The earnings announcement premium and trading volume
by Owen A. Lamont
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On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.
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Econometric models, Prices, StocksShowing 1 featured edition. View all 1 editions?
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The earnings announcement premium and trading volume
2007, National Bureau of Economic Research
in English
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Edition Notes
"May 2007"
Includes bibliographical references (p. 48-50).
Also available in PDF from the NBER world wide web site (www.nber.org).
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- Created September 29, 2008
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| September 29, 2008 | Created by ImportBot | Imported from Oregon Libraries MARC record |