I report the empirical evidence to show how firms’ expected and unexpected announcements affect investors’ trading behavior. I find that trading volume decreases before expected announcements, either scheduled or unscheduled, consistent with models that predict that discretionary liquidity traders may postpone their trading until after an anticipated news release. I also find that the magnitude of pre-announcement trading reactions is negatively associated with the level of pre-disclosure information asymmetry. I further find that trading volume is boosted before unexpected announcements, and the relation between the magnitude of pre-announcement trading reactions and the pre-disclosure information asymmetry is weakly significant or insignificant.
|Number of pages||31|
|Journal||Accounting and Finance|
|Early online date||24 Mar 2018|
|Publication status||Published - 24 Apr 2020|
- AF Financial Markets
- Expected and unexpected announcements
- Trading behavior
- Information asymmetry
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Dr Liyi Zheng
- School of Accounting and Finance - Senior Lecturer in Finance