When two anomalies meet: Volume and timing effects on earnings announcements
This study investigates the joint effect of trade volume and report timing on earnings‐announcement premiums. We find that high trading volume effect adds to early announcement effect but not vice versa. After controlling for firm characteristics, late timing and high trade volume have a positive jo...
| Main Authors: | , , |
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| Format: | Journal Article |
| Language: | English |
| Published: |
Wiley-Blackwell
2020
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| Online Access: | http://hdl.handle.net/20.500.11937/81643 |
| _version_ | 1848764395712151552 |
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| author | Hu, Wei Wong, Mark Cheung, Adrian Wai Kong |
| author_facet | Hu, Wei Wong, Mark Cheung, Adrian Wai Kong |
| author_sort | Hu, Wei |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This study investigates the joint effect of trade volume and report timing on earnings‐announcement premiums. We find that high trading volume effect adds to early announcement effect but not vice versa. After controlling for firm characteristics, late timing and high trade volume have a positive joint effect; stocks with late announcements and low trade volume earn the largest but short‐lived premium. We cannot find evidence to support the notion that early announcements result in superior premiums; the unusual volume effect is much greater in magnitude, longevity, and significance than the timing effect. |
| first_indexed | 2025-11-14T11:18:41Z |
| format | Journal Article |
| id | curtin-20.500.11937-81643 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T11:18:41Z |
| publishDate | 2020 |
| publisher | Wiley-Blackwell |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-816432022-10-31T07:33:26Z When two anomalies meet: Volume and timing effects on earnings announcements Hu, Wei Wong, Mark Cheung, Adrian Wai Kong This study investigates the joint effect of trade volume and report timing on earnings‐announcement premiums. We find that high trading volume effect adds to early announcement effect but not vice versa. After controlling for firm characteristics, late timing and high trade volume have a positive joint effect; stocks with late announcements and low trade volume earn the largest but short‐lived premium. We cannot find evidence to support the notion that early announcements result in superior premiums; the unusual volume effect is much greater in magnitude, longevity, and significance than the timing effect. 2020 Journal Article http://hdl.handle.net/20.500.11937/81643 10.1111/fire.12255 English Wiley-Blackwell fulltext |
| spellingShingle | Hu, Wei Wong, Mark Cheung, Adrian Wai Kong When two anomalies meet: Volume and timing effects on earnings announcements |
| title | When two anomalies meet: Volume and timing effects on earnings announcements |
| title_full | When two anomalies meet: Volume and timing effects on earnings announcements |
| title_fullStr | When two anomalies meet: Volume and timing effects on earnings announcements |
| title_full_unstemmed | When two anomalies meet: Volume and timing effects on earnings announcements |
| title_short | When two anomalies meet: Volume and timing effects on earnings announcements |
| title_sort | when two anomalies meet: volume and timing effects on earnings announcements |
| url | http://hdl.handle.net/20.500.11937/81643 |