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Intradaily Price-Volume Adjustments of NYSE Stocks to Unexpected Earnings


  • Woodruff, Catherine S
  • Senchack, A J, Jr


The speed and path of adjustment in stocks to the degree of earnings surprise in their quarterly announcements is studied using price-volume transactions data. A differential price adjustment process was observed, with stocks having large, positive earnings surprises experiencing a faster adjustment compared to those stocks with negative earnings surprises. Volume, transaction frequency, and size were found to be directly related to the absolute degree of surprise, but very favorable earnings surprise stocks experienced initially a large number of smaller trades while stocks with large unfavorable earnings surprises had relatively fewer transactions but higher volume per trade. Copyright 1988 by American Finance Association.

Suggested Citation

  • Woodruff, Catherine S & Senchack, A J, Jr, 1988. " Intradaily Price-Volume Adjustments of NYSE Stocks to Unexpected Earnings," Journal of Finance, American Finance Association, vol. 43(2), pages 467-491, June.
  • Handle: RePEc:bla:jfinan:v:43:y:1988:i:2:p:467-91

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    References listed on IDEAS

    1. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," The Journal of Business, University of Chicago Press, vol. 61(3), pages 275-298, July.
    2. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    3. Cohen, Kalman J, et al, 1981. "Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread," Journal of Political Economy, University of Chicago Press, vol. 89(2), pages 287-305, April.
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    Cited by:

    1. David Abad & José Yagüe & Sonia Sanabria, 2005. "Liquidity And Information Around Annual Earnings Announcements: An Intraday Analysis Of The Spanish Stock Market," Working Papers. Serie EC 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    2. Ferreira, Eurico J. & Smith, Stanley D., 1999. "Stock price reactions to recommendations in the Wall Street Journal "Small Stock Focus" column," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(3), pages 379-389.
    3. Smales, Lee A., 2014. "Non-scheduled news arrival and high-frequency stock market dynamics," Research in International Business and Finance, Elsevier, vol. 32(C), pages 122-138.
    4. Gosnell, Thomas F. & Keown, Arthur J. & Pinkerton, John M., 1996. "The intraday speed of stock price adjustment to major dividend changes: Bid-ask bounce and order flow imbalances," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 247-266, March.
    5. Tan, Oon Geok & Gannon, Gerard L., 2002. "'Information effect' of economic news: SPI futures," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 467-489.
    6. Smales, Lee A., 2014. "News sentiment and the investor fear gauge," Finance Research Letters, Elsevier, vol. 11(2), pages 122-130.
    7. Bank, Matthias & Baumann, Ralf H., 2016. "Price formation, market quality and the effects of reduced latency in the very short run," Research in International Business and Finance, Elsevier, vol. 37(C), pages 629-645.

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