Investors' trade size and trading responses around earnings announcements: An empirical investigation

Accounting Review

Volumn 76, Issue 2, 2001, Pages 221-244

  Bhattacharya, Nilabhra ^a  

^a NONE

Author keywords

Earnings announcements; Information asymmetry; Market microstructure; Trading volume

Indexed keywords

EID: 0035531888     PISSN: 00014826     EISSN: None     Source Type: Journal    
DOI: 10.2308/accr.2001.76.2.221     Document Type: Article

References (56)

1. Ajinkya, B. B., and P. C. Jain. 1989. The behavior of daily stock market trading volume. Journal of Accounting and Economics 11 (November): 331-359.
2. American Institute of Certified Public Accountants (AICPA). 1973. Objectives of Financial Statements. New York, NY: AICPA.
3. Atiase, R. K. 1987. Market implications of predisclosure information: Size and exchange effects. Journal of Accounting Research 25 (Spring): 168-176.
4. Ball, R., and E. Bartov. 1996. How naïve is the stock market's use of earning information? Journal of Accounting and Economics 21 (June): 319-337.
5. Bamber, L. S. 1987. Unexpected earnings, firm size, and trading volume around quarterly earnings announcements. The Accounting Review 62 (July): 510-532.
6. -, and Y. S. Cheon. 1995. Differential price and volume reactions to accounting earnings announcements. The Accounting Review 70 (July): 417-441.
7. -, O. E. Barron, and T. L. Stober. 1997. Trading volume and different aspects of disagreement coincident with earnings announcements. The Accounting Review 72 (October): 575-597.
8. -, -, and -. 1999. Differential interpretations and trading volume. Journal of Financial and Quantitative Analysis 34 (September): 369-386.
9. Barclay, M. J., and J. B. Warner. 1993. Stealth trading and volatility: Which trades move prices? Journal of Financial Economics 34 (December): 281-305.
10. Bartov, E. 1992. Patterns in unexpected earnings as an explanation for post-announcement drift. The Accounting Review 67 (July): 610-622.
11. Bernard, V. L., and J. K. Thomas. 1989. Post-earnings announcement drift: Delayed price response or risk premium. Journal of Accounting Research 27 (Supplement): 1-36.
12. -, and -. 1990. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics 13 (December): 305-340.
13. -, and H. N. Seyhun. 1997. Does post-earnings announcement drift in stock prices reflect a market inefficiency: A stochastic dominance approach. Review of Quantitative Finance and Accounting 9: 17-34.
14. -, J. K. Thomas, and J. Wahlen. 1997. Accounting-based stock price anomalies: Separating market inefficiencies from risk. Contemporary Accounting Research 14 (Summer): 89-136.
15. Bhushan, R. 1989. Firm characteristics and analyst following. Journal of Accounting and Economics 11 (July): 255-274.
16. Bloomfield, R. J., R. Libby, and M. W. Nelson. 1998. Confidence and the welfare of the less-informed investors. Working paper, Cornell University, Ithaca, NY.
17. Brown, L. D., and M. S. Rozeff. 1979. Univariate time-series models of quarterly accounting earnings per share: A proposed model. Journal of Accounting Research 17 (Spring): 179-189.
18. -, P. A. Griffin, R. L. Hagerman, and M. E. Zmijewski. 1987. Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings. Journal of Accounting and Economics 9 (April): 61-87.
19. Chan, L. K. C., and J. Lakonishok. 1993. Institutional trades and intraday stock price behavior. Journal of Financial Economics 33 (April): 173-189.
20. Cheng, A. C. S., W. S. Hopwood, and J. C. McKeown. 1992. Non-linearity and specification problems in unexpected earnings response regression model. The Accounting Review 67 (July): 579-598.
21. Cornell, B., and E. R. Sirri. 1992. The reaction of investors and stock prices to insider trading. Journal of Finance 47 (July): 1031-1059.
22. Cready, W. M. 1988. Information value and investor wealth: The case of earnings announcements. Journal of Accounting Research 26 (Spring): 1-27.
23. -, and P. G. Mynatt. 1991. The information content of annual reports: A price and trading response analysis. The Accounting Review 66 (April): 291-312.
24. Easley, D., and M. O'Hara. 1987. Price, trade size, and information in securities markets. Journal of Financial Economics 19 (September): 69-90.
25. El-Gazzar, S. M. 1998. Predisclosure information and institutional ownership: A cross-sectional examination of market revaluations during earnings announcement periods. The Accounting Review 73 (January): 119-129.
26. Foster, G., C. Olsen, and T. Shevlin. 1984. Earnings releases, anomalies, and the behavior of security returns. The Accounting Review 59 (October): 574-603.
27. -. 1986. Financial Statement Analysis. 2nd edition. Englewood Cliffs, NJ: Prentice Hall.
28. Freeman, R. N., and S. Tse. 1989. The multi-period information content of accounting earnings: Confirmations and contradictions of previous earnings reports. Journal of Accounting Research 27 (Supplement): 49-79.
29. Froot, K. A. 1989. Consistent covariance matrix estimation with cross-sectional dependence and heteroskedasticity in financial data. Journal of Financial and Quantitative Analysis 24 (September): 333-355.
30. Grant, E. B. 1980. Market implications of differential amounts of interim information. Journal of Accounting Research 18 (Spring): 255-268.
31. Greene, W. H. 1993. Econometric Analysis. 2nd edition. Englewood Cliffs, NJ: Prentice Hall.
32. Griffin, D., and A. Tversky. 1992. The weighting of evidence and the determinants of confidence. Cognitive Psychology 24 (July): 411-435.
33. Hand, J. R., and R. P. Beatty. 1992. The causes and effects of mandated accounting standards: SFAS No. 94 as a test of the level playing field theory. Journal of Accounting, Auditing and Finance 7 (Fall): 509-530.
34. Hasbrouck, J. 1988. Trades, quotes, inventories and information. Journal of Financial Economics 22 (December): 229-252.
35. -. 1991. Measuring the information content of stock trades. Journal of Finance 46 (March): 179-207.
36. Karpoff, J. M. 1987. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22 (March): 109-126.
37. Kross, W., G. Ha, and F. Heflin. 1994. A test of risk clientele effects via an examination of trading volume response to earnings announcements. Journal of Accounting and Economics 18 (July): 67-87.
38. Kyle, A. S. 1985. Continuous auction and insider trading. Econometrica 53 (November): 1315-1335.
39. Lee, C. M. C., and M. J. Ready. 1991. Inferring trade direction from intraday data. The Journal of Finance 46 (June): 733-746.
40. -. 1992. Earnings news and small traders: An intraday analysis. Journal of Accounting and Economics 15 (June/September): 265-302.
41. -, and B. Radhakrishna. 2000. Inferring investors behavior: Evidence from TORQ data. Journal of Financial Markets 3 (2): 83-111.
42. Lev, B. 1998. Toward a theory of equitable and efficient accounting policy. The Accounting Review 63 (January): 1-22.
43. Meulbroek, L. A. 1992. An empirical analysis of illegal insider trading. The Journal of Finance 47 (December): 1661-1699.
44. Mikhail, M. B., B. R. Walther, and R. H. Willis. 1999. Does forecast accuracy matter to security analysts? The Accounting Review 74 (April): 185-200.
45. Montgomery, D. C., and E. A. Peck. 1991. Introduction to Linear Regression Analysis. 2nd edition. New York, NY: Wiley.
46. Morse, D. 1981. Price and trading volume reaction surrounding earnings announcements: A closer examination. Journal of Accounting Research 19 (Autumn): 374-383.
47. O'Brien, P. C. 1988. Analysts' forecast as earnings expectations. Journal of Accounting and Economics 10 (January): 53-83.
48. Ohlson, J. A. 1975. The complete ordering of information alternatives for a class of portfolio selection models. Journal of Accounting Research 13 (Autumn): 267-282.
49. Peterson, D. K., and G. F. Pitz. 1988. Confidence, uncertainty and the use of information. Journal of Experimental Psychology: Learning, Memory and Cognition 14 (January): 85-92.
50. Philbrick, D. R., and W. E. Ricks. 1991. Using value line and IBES analyst forecasts in accounting research. Journal of Accounting Research 29 (Autumn): 397-417.
51. Rendleman, R. J., Jr., C. P. Jones, and H. A. Latané. 1987. Further insight into the standardized unexpected earnings anomaly: Size and serial correlation effects. The Financial Review 22 (February): 131-144.
52. Richardson, G., S. E. Sefcik, and R. Thompson. 1986. A test of dividend irrelevance using volume reactions to a change in dividend policy. Journal of Financial Economics 17 (December): 313-333.
53. Vuong, Q. 1989. Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 57 (March): 307-333.
54. Walther, B. R. 1997. Investor sophistication and market earnings expectation. Journal of Accounting Research 35 (Autumn): 157-179.
55. Wilson, R. 1975. Information economies of scale. Bell Journal of Economics 6 (Spring): 184-195.
56. Zellner, A. 1962. An efficient method of estimating seemingly unrelated regression and tests for aggregation bias. Journal of the American Statistical Association 57 (June): 34-368.