Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements
AbstractThis paper empirically examines the incremental relation between trading volume surrounding quarterly earnings announcements and institutional holdings. Consistent with Cready (1988) and Lee (1992), we find a significant positive relation between abnormal trading volume and the fraction of institutional ownership during the period immediatly following an earnings announcement, after controlling for the magnitude of the associated price reaction and the dispersion of analysts' EPS forecasts.
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Bibliographic InfoPaper provided by McMaster University in its series Quantitative Studies in Economics and Population Research Reports with number 314.
Length: 24 pages
Date of creation: 1996
Date of revision:
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