earticle

영어

This paper reports the results of a study of differential price and volume reactions to accounting earnings announcements. Prior research acknowledges that an earnings announcement may generate heavy trading but minimal price changes, and versa. Surprisingly, there is little empirical evidence regarding the extent of such occurrences. This study investigates the analytical prior researches and analysis that earnings announcements generate differential price and volume reactions, and then assesses whether these differential reactions are associated with announcement-specific characteristics, such as predisclosure information asymmetry, firm size, unexpected earnings. Although price and volume reactions to earnings announcements are significantly positively associated, on average, the frequency of earnings announcements that the relative magnitudes of price and volume reactions are extremely different for 20∼25% of my sample earnings announcements. The evidence suggests that earnings announcements that generate a high trading volume reaction relative to price reaction are as associated with (1) more divergent financial analysts earnings forcasts(DISP) (2) higher random-walk-based unexpected earnings relative to analysts-based unexpected earnings.