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Explanatory factors for trading volume responses to annual earnings announcements: Evidence from the Korean stock market

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  • Choi, Jong-Seo
  • Choe, Chongwoo

Abstract

This study provides empirical evidence regarding the effect of annual accounting earnings announcements on investors' trading behavior in the Korean stock market. Unexpected earnings (UE), the degree of predisclosure information asymmetry and risk change are hypothesized to have positive correlations with abnormal trading volume around the disclosure date. On the other hand, a negative relationship between firm size and trading volume around the disclosure date is hypothesized. Empirical studies using non-parametric testing procedures confirm most of the research hypotheses except for risk change effect.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:pacfin:v:6:y:1998:i:1-2:p:193-212
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    Cited by:

    1. Al-Sehali, Mohammed & Spear, Nasser, 2004. "The decision relevance and timeliness of accounting earnings in Saudi Arabia," The International Journal of Accounting, Elsevier, vol. 39(2), pages 197-217.
    2. Gao, Y. & Tse, Y. K., 2004. "Market segmentation and information values of earnings announcements: Some empirical evidence from an event study on the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 455-474.
    3. 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.
    4. Sonia Sanabria, 2004. "Comportamiento De Los Precios Y Volúmenes De Negociación Ante Anuncios De Beneficios Anuales," Working Papers. Serie EC 2004-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

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