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The type of corporate announcements and its implication on trading behaviour

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  • Liyi Zheng

Abstract

I report the empirical evidence to show how firms’ expected and unexpected announcements affect investors’ trading behaviour. I find that trading volume decreases before expected announcements, either scheduled or unscheduled, consistent with models that predict that discretionary liquidity traders may postpone their trading until after an anticipated news release. I also find that the magnitude of pre‐announcement trading reactions is negatively associated with the level of pre‐disclosure information asymmetry. I further find that trading volume is boosted before unexpected announcements, and the relation between the magnitude of pre‐announcement trading reactions and the pre‐disclosure information asymmetry is weakly significant or insignificant.

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  • Liyi Zheng, 2020. "The type of corporate announcements and its implication on trading behaviour," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 629-659, April.
    • Handle: RePEc:bla:acctfi:v:60:y:2020:i:s1:p:629-659
    DOI: 10.1111/acfi.12356
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    2. Aziz Simsir, Serif & Simsek, Koray D., 2022. "The market impact of private information before corporate Announcements: Evidence from Turkey," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).

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