Original title: Intra-industry transfer of information inferred from trading volume
Authors: Brushko, Iuliia ; Ferris, S. P. ; Hanousek, Jan ; Trešl, Jiří
Document type: Research reports
Year: 2020
Language: eng
Series: CERGE-EI Working Paper Series, volume: 663
Abstract: This study examines the responsiveness of trading volume to a firm’s earnings announcements. We find that the volume and earnings surprise information generated at the first earnings announcement within an industry help to explain the stock returns of the non-announcing firm. Specifically, it explains their equity performance at the time of the first industry announcement and then again after their own earnings announcement. These results provide novel insights into how earnings announcements contain both firm specific as well as industry information that is value relevant for investors.
Keywords: earnings announcement; earnings surprise; intra-industry
Project no.: GA16-20451S (CEP)
Funding provider: GA ČR

Institution: Economics Institute AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: https://www.cerge-ei.cz/pdf/wp/Wp663.pdf
Original record: http://hdl.handle.net/11104/0310978

Permalink: http://www.nusl.cz/ntk/nusl-432148


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