An empirical analysis of the effects of online trading on stock price and trading volume reactions to earnings announcements

被引：32

作者：

Ahmed, AS ^{[1
]}

Schneible, RA

Stevens, DE

机构：

[1] Syracuse Univ, Syracuse, NY 13244 USA

[2] Texas Christian Univ, Ft Worth, TX 76129 USA

来源：

CONTEMPORARY ACCOUNTING RESEARCH | 2003年 / 20卷 / 03期

关键词：

differential interpretations; differential prior precision; online trading; stock price reaction; trading volume reaction;

D O I：

10.1506/N2XD-TF8Y-JT4L-L6V0

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study provides evidence regarding the effects of online trading on stock price and trading volume reactions to quarterly earnings announcements. We test for differences in stock price and volume reactions to quarterly earnings announcements between a period with a significant amount of online trading (1996-99) and a period without online trading (1992-95). We conjecture that online trading has increased the proportion of naive investors in the market. We predict that this will result in (1) a decrease in the average precision of investor information prior to earnings announcements leading to higher earnings response coefficients (ERCs), (2) an increase in differential interpretation of earnings leading to higher trading volume reactions that are unrelated to price change, and (3) a decrease in differential prior precision leading to a decrease in the association between trading volume and absolute price change. We find evidence consistent with all three predictions. Our findings are relevant for assessing the validity of concerns about online trading expressed by regulators and the validity of theoretical models of trade with asymmetrically informed investors.

引用

页码：413 / 439

页数：27

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