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Liquidity And Information Around Annual Earnings Announcements: An Intraday Analysis Of The Spanish Stock Market


  • David Abad

    () (Universidad de Alicante)

  • José Yagüe

    () (Universidad de Murcia)

  • Sonia Sanabria

    () (Universidad de Alicante)


This paper analyses the intraday reaction of the Spanish market to annual earnings announcements. Specifically, we examine the levels of stock liquidity, trading activity, volatility, and asymmetric information, as well as the order placement strategy around earnings disclosures. We also analyse the differences in the market reaction to announcements made during trading and non-trading hours. We find that stock liquidity and trading activity significantly improves after the announcement, although we do not find a significant reduction in the level of asymmetric information. Our results indicate that the stock market reaction differs according to the timing of the announcement. For overnight announcements, where investors have time to evaluate the earnings news before the market opens, the improvement in liquidity is immediate, caused by higher trading activity and less asymmetric information. On the contrary, for earnings announcements released when the market is open, the significant improvement in stock liquidity is observed after about one and a half hours of trading. The latter possibly occurs once informational advantages of investors who have superior information-processing abilities disappear, and therefore the level of asymmetric information decreases. The different reaction of the market to overnight and to daytime disclosures could explain the fact that Spanish firms prefer to release the announcement in trading (non-trading) hours when actual earnings are lower (higher) than forecast earnings. En este trabajo analizamos la reacción intradía del mercado español ante el anuncio del beneficio anual. En concreto, se examinan los niveles de liquidez, actividad negociadora, volatilidad, asimetría informativa y las estrategias de introducción de órdenes en un breve intervalo de tiempo alrededor del anuncio. También se analiza la respuesta del mercado en función del momento en que se produce el anuncio: fuera o dentro de la sesión. Nuestros resultados muestran una mejora generalizada de la liquidez y la actividad después del anuncio, aunque no se observa una reducción significativa del nivel de asimetría informativa. Sin embargo, la reacción del mercado difiere atendiendo al momento del anuncio. En los anuncios que se realizan con el mercado cerrado, donde los agentes disponen de más tiempo para procesar la información antes de que el mercado abra, la mejora en la liquidez es inmediata, no sólo impulsada por la mayor actividad, sino también por un menor nivel de asimetría informativa. Por su parte, en los anuncios que tienen lugar con el mercado abierto, la mejora en liquidez se produce con retraso, aproximadamente hora y media después del anuncio, posiblemente una vez que desaparecen las ventajas informativas de aquellos agentes más diestros en la interpretación de la nueva información y, por tanto, cuando disminuye el nivel de asimetría informativa. Esta diferente respuesta del mercado ante los anuncios con el mercado abierto y cerrado podría justificar el hecho de que las empresas prefieran anunciar sus beneficios dentro (fuera) de la sesión cuando estos son peores (mejores) de lo esperado.

Suggested Citation

  • 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).
  • Handle: RePEc:ivi:wpasec:2005-16

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    References listed on IDEAS

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    More about this item


    Anuncios de resultados; liquidez; actividad negociadora; volatilidad; asimetría informativa Earnings announcements; liquidity; trading activity; volatility; information asymmetry;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • M49 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Other

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