The Calm before the Storm

被引：60

作者：

Akbas, Ferhat ^{[1
]}

机构：

[1] Univ Kansas, Sch Business, Lawrence, KS 66045 USA

来源：

JOURNAL OF FINANCE | 2016年 / 71卷 / 01期

关键词：

EARNINGS ANNOUNCEMENT DRIFT; EXPECTED STOCK RETURNS; INSTITUTIONAL INVESTORS; TRADING VOLUME; PRIVATE INFORMATION; MOMENTUM STRATEGIES; PRICE ADJUSTMENT; CROSS-SECTION; OPINION; MARKET;

D O I：

10.1111/jofi.12377

中图分类号：

F8 [财政、金融];

学科分类号：

020219 [财政学（含：税收学）];

摘要：

I provide evidence that stocks experiencing unusually low trading volume over the week prior to earnings announcements have more unfavorable earnings surprises. This effect is more pronounced among stocks with higher short-selling constraints. These findings support the view that unusually low trading volume signals negative information, since, under short-selling constraints, informed agents with bad news stay by the sidelines. Changes in visibility or risk-based explanations are insufficient to explain the results. This evidence provides insights into why unusually low trading volume predicts price declines.

引用

收藏

页码：225 / 266

页数：42

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