earnings announcement premium and trading volume
By: Owen Lamont, Andrea Frazzini.
Contributors: Frazzini, Andrea.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 13090.; Working paper series (National Bureau of Economic Research) -- working paper no. 13090.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 51
Subjects: Stocks -- Prices -- Econometric models
Description: On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.
Notes: "May 2007"

Includes bibliographical references (p. 48-50).

Also available in PDF from the NBER world wide web site (www.nber.org).