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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Intra-industry transfer of information inferred from trading volume
 Brushko, Iuliia ; Ferris, S. P. ; Hanousek, Jan ; Trešl, Jiří
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.
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Market Reaction to Earnings Announcements and (In)Efficiency of Financial Markets: Cross-sector Analysis
 Prucek, Pavel ; Kočenda, Evžen (advisor) ; Teplý, Petr (referee)
Using the sample of three largest stocks from seven main market sectors in the US, the thesis examines the effect of information content of earnings announce­ ments on market reaction across sectors. Our findings prove the asymmetry of market reaction to different earnings surprise categories with negative-surprise reaction being the most profound. The financial markets tend to be less ef­ ficient in response to negative earnings surprises. Leakage of information is not present suggesting that insider trading is well-mitigated on the US capital markets. Furthermore, we investigate the market reaction to earnings surprises in different sectors separately and find that Consumer Staples and IT sector tend to be the most sensitive, on the contrary Telecommunication and Energy sector tend to be the least sensitive. G14; G15; G30JEL Classification Keywords Earnings announcement; Market reaction; Mar­ ket efficiency; Cross-sector analysis; Corpo­ rate disclosure; Insider trading; Post-earnings- announcement drift A u th o r's e-m ail p a v e l.prucekSgm ail. com S u p erv iso r's e-m ail kocenda@f s v . c u n i. cz
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