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

  • Choi, Jong-Seo
  • Choe, Chongwoo

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.

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Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 6 (1998)
Issue (Month): 1-2 (May)
Pages: 193-212

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Handle: RePEc:eee:pacfin:v:6:y:1998:i:1-2:p:193-212
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  1. Bae, Kee-Hong, 1995. "Market segmentation and time variation in the price of risk: Evidence on the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 1-29, May.
  2. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
  3. Hakansson, Nils H & Kunkel, J Gregory & Ohlson, James A, 1982. " Sufficient and Necessary Conditions for Information to Have Social Value in Pure Exchange," Journal of Finance, American Finance Association, vol. 37(5), pages 1169-81, December.
  4. Brown, Lawrence D & Rozeff, Michael S, 1978. "The Superiority of Analyst Forecasts as Measures of Expectations: Evidence from Earnings," Journal of Finance, American Finance Association, vol. 33(1), pages 1-16, March.
  5. Jong-Seo Choi & Chongwoo Choe, 1996. "Explanatory Factors for Trading Volume Responses to Annual Earnings Announcements: Evidence from the Korean Stock Market," Working Papers 1996.07, School of Economics, La Trobe University.
  6. Bowman, Robert G, 1979. "The Theoretical Relationship between Systematic Risk and Financial (Accounting) Variables," Journal of Finance, American Finance Association, vol. 34(3), pages 617-30, June.
  7. Modigliani, Franco, 1982. " Debt, Dividend Policy, Taxes, Inflation and Market Valuation," Journal of Finance, American Finance Association, vol. 37(2), pages 255-73, May.
  8. repec:ltr:wpaper:1996.08 is not listed on IDEAS
  9. Fried, Dov & Givoly, Dan, 1982. "Financial analysts' forecasts of earnings : A better surrogate for market expectations," Journal of Accounting and Economics, Elsevier, vol. 4(2), pages 85-107, October.
  10. Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-87, December.
  11. Choe, Chongwoo & Moosa, Imad A., 1999. "Financial System and Economic Growth: The Korean Experience," World Development, Elsevier, vol. 27(6), pages 1069-1082, June.
  12. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  13. Kandel, Eugene & Pearson, Neil D, 1995. "Differential Interpretation of Public Signals and Trade in Speculative Markets," Journal of Political Economy, University of Chicago Press, vol. 103(4), pages 831-72, August.
  14. Brennan, M. J., 1971. "Capital Market Equilibrium with Divergent Borrowing and Lending Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(05), pages 1197-1205, December.
  15. Lang, Larry H P & Litzenberger, Robert H & Madrigal, Vicente, 1992. "Testing Financial Market Equilibrium under Asymmetric Information," Journal of Political Economy, University of Chicago Press, vol. 100(2), pages 317-48, April.
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