The earnings announcement premium and trading volume:
On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13090 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention. |
| Beschreibung: | 51 S. graph. Darst. 22 cm |
Internformat
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13090 | |
| 520 | 8 | |a On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention. | |
| 700 | 1 | |a Frazzini, Andrea |e Verfasser |0 (DE-588)13059136X |4 aut | |
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| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:14Z |
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| spelling | Lamont, Owen A. Verfasser (DE-588)129239291 aut The earnings announcement premium and trading volume Owen Lamont ; Andrea Frazzini Cambridge, Mass. National Bureau of Economic Research 2007 51 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13090 On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention. Frazzini, Andrea Verfasser (DE-588)13059136X aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13090 (DE-604)BV002801238 13090 http://papers.nber.org/papers/w13090.pdf kostenfrei Volltext |
| spellingShingle | Lamont, Owen A. Frazzini, Andrea The earnings announcement premium and trading volume |
| title | The earnings announcement premium and trading volume |
| title_auth | The earnings announcement premium and trading volume |
| title_exact_search | The earnings announcement premium and trading volume |
| title_exact_search_txtP | The earnings announcement premium and trading volume |
| title_full | The earnings announcement premium and trading volume Owen Lamont ; Andrea Frazzini |
| title_fullStr | The earnings announcement premium and trading volume Owen Lamont ; Andrea Frazzini |
| title_full_unstemmed | The earnings announcement premium and trading volume Owen Lamont ; Andrea Frazzini |
| title_short | The earnings announcement premium and trading volume |
| title_sort | the earnings announcement premium and trading volume |
| url | http://papers.nber.org/papers/w13090.pdf |
| volume_link | (DE-604)BV002801238 |
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