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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.

Suggested Citation

  • 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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    Cited by:

    1. Neenu C & T Mohamed Nishad, 2022. "Behavior of Financial Markets Around News Announcements: A Review Based on Bibliometric Analysis of Scientific Fields," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 14(2), pages 143-172, December.
    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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