The Type of Corporate Announcements and Its Implication on Trading Behavior

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Abstract

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.
Original languageEnglish
Pages (from-to)629-659
Number of pages31
JournalAccounting and Finance
Volume60
Issue numberS1
Early online date24 Mar 2018
DOIs
Publication statusPublished - 24 Apr 2020

Keywords

  • Expected and unexpected announcements
  • Trading behavior
  • Information asymmetry

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