When two anomalies meet: Volume and timing effects on earnings announcements
Mark Wong
Department of Finance and Banking, School of Economics, Finance and Property, Curtin University, Perth, WA, Australia
Search for more papers by this authorAdrian Wai Kong Cheung
Faculty of Finance, City University of Macau, Taipa, Macao
Search for more papers by this authorCorresponding Author
Wei Hu
Department of Finance and Banking, School of Economics, Finance and Property, Curtin University, Perth, WA, Australia
Correspondence
Wei Hu, Department of Finance and Banking, School of Economics, Finance and Property, Curtin University, Perth WA 6102, Australia.
Email: wei.hu@curtin.edu.au
Search for more papers by this authorMark Wong
Department of Finance and Banking, School of Economics, Finance and Property, Curtin University, Perth, WA, Australia
Search for more papers by this authorAdrian Wai Kong Cheung
Faculty of Finance, City University of Macau, Taipa, Macao
Search for more papers by this authorCorresponding Author
Wei Hu
Department of Finance and Banking, School of Economics, Finance and Property, Curtin University, Perth, WA, Australia
Correspondence
Wei Hu, Department of Finance and Banking, School of Economics, Finance and Property, Curtin University, Perth WA 6102, Australia.
Email: wei.hu@curtin.edu.au
Search for more papers by this authorAbstract
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.
Supporting Information
| Filename | Description |
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| fire12255-sup-0001-SuppMat.docx22.5 KB |
TABLE A.1 Unusual volume signaling announcement premiums and earnings surprises TABLE A.2 Timing as predictor of announcement premiums and earnings surprises |
Please note: The publisher is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing content) should be directed to the corresponding author for the article.
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