Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Earnings Announcement Premium and Trading Volume

Contents:

Author Info

  • Owen Lamont
  • Andrea Frazzini

Abstract

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.nber.org/papers/w13090.pdf
Download Restriction: no

Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 13090.

as in new window
Length:
Date of creation: May 2007
Date of revision:
Handle: RePEc:nbr:nberwo:13090

Note: AP
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Phone: 617-868-3900
Email:
Web page: http://www.nber.org
More information through EDIRC

Related research

Keywords:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Hong, Harrison & Yu, Jialin, 2009. "Gone fishin': Seasonality in trading activity and asset prices," Journal of Financial Markets, Elsevier, Elsevier, vol. 12(4), pages 672-702, November.
  2. Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 504, China Economics and Management Academy, Central University of Finance and Economics.
  3. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Bad Beta, Good Beta," American Economic Review, American Economic Association, vol. 94(5), pages 1249-1275, December.
  4. Miller, Edward M, 1977. "Risk, Uncertainty, and Divergence of Opinion," Journal of Finance, American Finance Association, American Finance Association, vol. 32(4), pages 1151-68, September.
  5. Malcolm Baker & Lubomir Litov & Jessica A. Wachter & Jeffrey Wurgler, 2004. "Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements," NBER Working Papers 10685, National Bureau of Economic Research, Inc.
  6. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
  7. Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers 1977, Harvard - Institute of Economic Research.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Marco GAMBARO & Riccardo PUGLISI, 2009. "What do ads buy? Daily coverage of listed companies on the Italian press," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano 2009-36, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  2. Dorn, Daniel & Huberman, Gur & Sengmueller, Paul, 2007. "Correlated Trading and Returns," CEPR Discussion Papers 6530, C.E.P.R. Discussion Papers.
  3. Barber, Brad M. & De George, Emmanuel T. & Lehavy, Reuven & Trueman, Brett, 2013. "The earnings announcement premium around the globe," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(1), pages 118-138.
  4. Mohanram, Partha & Rajgopal, Shiva, 2009. "Is PIN priced risk?," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 47(3), pages 226-243, June.
  5. Cohen, Daniel A. & Dey, Aiyesha & Lys, Thomas Z. & Sunder, Shyam V., 2007. "Earnings announcement premia and the limits to arbitrage," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 43(2-3), pages 153-180, July.
  6. Hong, Harrison & Stein, Jeremy, 2007. "Disagreement and the Stock Market," Scholarly Articles 2894690, Harvard University Department of Economics.
  7. Hong, Harrison & Yu, Jialin, 2009. "Gone fishin': Seasonality in trading activity and asset prices," Journal of Financial Markets, Elsevier, Elsevier, vol. 12(4), pages 672-702, November.
  8. Alex Dontoh & Suresh Radhakrishnan & Joshua Ronen, 2007. "Is stock price a good measure for assessing value-relevance of earnings? An empirical test," Review of Managerial Science, Springer, vol. 1(1), pages 3-45, April.
  9. Jens Hilscher & Joshua M. Pollet & Mungo Wilson, 2011. "Are credit default swaps a sideshow? Evidence that Information Flows from Equity to CDS Markets," Working Papers, Brandeis University, Department of Economics and International Businesss School 35, Brandeis University, Department of Economics and International Businesss School, revised Oct 2012.
  10. Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi" 08013, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  11. David O. Lucca & Emanuel Moench, 2011. "The pre-FOMC announcement drift," Staff Reports 512, Federal Reserve Bank of New York.
  12. Jouini, Elyès & Napp, Clotilde, 2009. "Unbiased Disagreement and the Efficient Market Hypothesis," Economics Papers from University Paris Dauphine 123456789/3495, Paris Dauphine University.
  13. Kaniel, Ron & Liu, Shuming & Saar, Gideon & Titman, Sheridan, 2011. "Individual Investor Trading and Return Patterns around Earnings Announcements," CEPR Discussion Papers 8259, C.E.P.R. Discussion Papers.
  14. Berkman, Henk & Dimitrov, Valentin & Jain, Prem C. & Koch, Paul D. & Tice, Sheri, 2009. "Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements," Journal of Financial Economics, Elsevier, Elsevier, vol. 92(3), pages 376-399, June.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:13090. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.