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Intertemporal variation in abnormal volume around earnings announcements: “Distraction” or “flocking-and-dispersing”?

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  • Jansen, Ivo Ph.
  • Nikiforov, Andrei L.

Abstract

We provide evidence that flocking-and-dispersing—not investor distraction—explains the negative relation between abnormal trading volume in stocks with earnings announcements and the number of “competing” earnings announcements on the same day.

Suggested Citation

  • Jansen, Ivo Ph. & Nikiforov, Andrei L., 2022. "Intertemporal variation in abnormal volume around earnings announcements: “Distraction” or “flocking-and-dispersing”?," Economics Letters, Elsevier, vol. 218(C).
    • Handle: RePEc:eee:ecolet:v:218:y:2022:i:c:s016517652200249x
    DOI: 10.1016/j.econlet.2022.110722
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    References listed on IDEAS

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    1. Leone, Vitor & Kwabi, Frank, 2019. "High frequency trading, price discovery and market efficiency in the FTSE100," Economics Letters, Elsevier, vol. 181(C), pages 174-177.
    2. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
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    6. Brian R. Adams & Frank W. Rusco & W. David Walls, 2002. "Professional Bettors, Odds-Arbitrage Competition, And Betting Market Equilibrium," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 47(01), pages 111-127.
    7. Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2014. "High-Frequency Trading and Price Discovery," The Review of Financial Studies, Society for Financial Studies, vol. 27(8), pages 2267-2306.
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    9. David Hirshleifer & Sonya Seongyeon Lim & Siew Hong Teoh, 2009. "Driven to Distraction: Extraneous Events and Underreaction to Earnings News," Journal of Finance, American Finance Association, vol. 64(5), pages 2289-2325, October.
    10. Morrison, Alan D. & Vulkan, Nir, 2005. "Making money out of publicly available information," Economics Letters, Elsevier, vol. 89(1), pages 31-38, October.
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    More about this item

    Keywords

    Investor distraction; Trading volume; Stock market; Earnings announcements;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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