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Comportamiento De Los Precios Y Volúmenes De Negociación Ante Anuncios De Beneficios Anuales

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  • Sonia Sanabria

    ()
    (Universidad de Alicante)

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    Abstract

    The aim of this study is analyzed empirically the effect that annual earnings announcementshave in market value and the trading volume of shares on the Spanish Stock Market for the periodbetween 1999 and 2001. With the finality to accomplish a more complete analysis, is examined theactual relation between changes in the trading volume around earnings announcements and changes inshares prices besides the sensibility of trading volume to the accumulated abnormal return’s sign inaddition to different firms’ characteristics as determinants of changes in the trading volume aroundearnings announcements.The obtained results demonstrate the presence of informative content at the annual earningsannouncements’ disclosure. Activity of trading volume around earnings announcements is connectedwith the number of analysts following a firm during the previous year to the announcement andinformation content of the earnings announcement, without anything which indicate that it isassociated with the investors’ opinion divergence before the disclosure, the period of time lapsedbetween the prediction and the earnings announcements, or with the risk change. The magnitude ofunexpected earnings is explanatory of the contemporary trading volume. En este trabajo se analiza empíricamente el efecto que la publicación del beneficio anual tiene sobre el valor de mercado y el volumen de negociación de las acciones admitidas a cotización en el mercado bursátil español para el periodo 1999-2001. Con la finalidad de llevar a cabo un análisis más completo, se examina la relación existente entre los cambios en los volúmenes alrededor del anuncio y los cambios en el precio de las acciones así como la sensibilidad del volumen anormal al signo de las rentabilidades anormales acumuladas, además de las diferentes características de las empresas como determinantes de los cambios en la negociación alrededor del anuncio. Los resultados obtenidos ponen de manifiesto la existencia de contenido informativo en la publicación del beneficio contable anual. La actividad de negociación alrededor del anuncio de beneficio anual está relacionada con el número de analistas financieros que cubren una empresa durante el año previo al anuncio y con el contenido informativo del beneficio, sin que existan indicios de que esté asociada con la divergencia de opinión de los inversores previa a la publicación, el intervalo de tiempo transcurrido entre la predicción y la publicación, o con el cambio de riesgo. La magnitud de beneficio inesperado es explicativa de la negociación contemporánea.

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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2004-03.pdf
    File Function: Fisrt version / Primera version, 2004
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    Bibliographic Info

    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2004-03.

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    Length: 41 pages
    Date of creation: Jan 2004
    Date of revision:
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2004-03

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    Related research

    Keywords: anuncios de beneficios contables; rentabilidades anormales; volumen de negociación earnings announcement; abnormal returns; trading volume.;

    References

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    1. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    2. Corrado, Charles J. & Zivney, Terry L., 1992. "The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 465-478, September.
    3. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    4. repec:ltr:wpaper:1996.07 is not listed on IDEAS
    5. Corrado, Charles J., 1989. "A nonparametric test for abnormal security-price performance in event studies," Journal of Financial Economics, Elsevier, vol. 23(2), pages 385-395, August.
    6. Bamber, Linda Smith & Barron, Orie E. & Stober, Thomas L., 1999. "Differential Interpretations and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(03), pages 369-386, September.
    7. Tkac, Paula A., 1999. "A Trading Volume Benchmark: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 89-114, March.
    8. Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-87, December.
    9. Wayne R. Landsman, 2002. "Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades?," Journal of Accounting Research, Wiley Blackwell, vol. 40(3), pages 797-808, 06.
    10. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
    11. Jean‐François Gajewski, 1999. "Earnings Announcements, Asymmetric Information, Trades and Quotes," European Financial Management, European Financial Management Association, vol. 5(3), pages 411-424.
    12. Choi, Jong-Seo & Choe, Chongwoo, 1998. "Explanatory factors for trading volume responses to annual earnings announcements: Evidence from the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 193-212, May.
    13. Emanuele Bajo, 2010. "The Information Content of Abnormal Trading Volume," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 950-978.
    14. Jean-Francois Gajewski & Bertrand Quere, 2001. "The information content of earnings and turnover announcements in France," European Accounting Review, Taylor & Francis Journals, vol. 10(4), pages 679-704.
    15. Juha-Pekka Kallunki, 1996. "Stock returns and earnings announcements in Finland," European Accounting Review, Taylor & Francis Journals, vol. 5(2), pages 199-216.
    16. Maria Jose Arcas Pellicer & William Page Rees, 1999. "Regularities in the equity price response to earnings announcements in Spain," European Accounting Review, Taylor & Francis Journals, vol. 8(4), pages 585-607.
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