Conceptual Explanation of the Effectiveness of Trading Volume around Earnings Announcements
Subject Areas :
1 - گروه حسابداری، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران
2 - گروه حسابداری، واحد کرج، دانشگاه آزاد اسلامی، کرج، ایران
Keywords: trading volume, Keywords: Earnings Announcements, Exchange Market,
Abstract :
Abstract The objective of this research is conceptual explanation of the effectiveness of Trading Volume around Earnings Announcements. The method of the present research is the method of historical cognition in the framework of library studies and is of the type of theoretical-critical research and based on research related to the subject.In general, the analytical approach has at least 4 important features; First, this view is often textual, meaning that it accepts that accounting has economic, political, and social implications. Second, this theory seeks participation and interaction. This means that it is always looking to change or improve accounting practices. Third, it is related to both micro (individuals and organizations) and macro (profession and society) levels, and the fourth is interdisciplinary and relates to, borrows from, and combines with other systems. Therefore, the critical view is more related to the accounting profession, system and procedures than traditional studies.The principle of disclosure is considered as one of the principles of accounting and according to this principle, all information related to the activities of the company should be provided to various groups in an appropriate and timely manner. In other words, information disclosure can be used to transfer information from a specific domain to a general domain. Proper and quality disclosure will improve transparency and reduce information asymmetry and market effectiveness.The effects that determine fluctuations in the capital market are innumerable. Past, present, and even neglected events are reflected in market prices, but often do not show a clear relationship with price changes.The results of this study provide useful theoretical information for policy makers and institutions that develop accounting standards on the quality of financial reporting for investors and develop the results of behavioral research in the field of finance.
References:
آقایی، محمدعلی، علی ثقفی، غلامحسین تقی‌نتاج و جهانبخش اسدنیا، (1391)، "تأثیر اعلان سود فصلی شرکت‌ها بر تأمین نیاز اطلاعاتی ذی‌نفعان"، فصلنامه حسابداری مالی، 4 (16)، صص 39-1
صالحی، مهدی و فریبا عرب بافرانی، (1394)، "اثر اعلان سودهای فصلی و سالانه بر عمق بازار"، فصلنامه دانش حسابداری مالی، 2 (5)، صص 109-89.
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Ahmed, A. S., & Schneible Jr, R. A. (2007), “The Impact of Regulation Fair Disclosure on Investors' Prior Information Quality—Evidence from an Analysis of Changes in Trading Volume and Stock Price Reactions to Earnings Announcements”, Journal of Corporate Finance, 13(2-3), PP. 282-299.
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Bailey, W., Karolyi, G. A., & Salva, C. (2006), “The Economic Consequences of Increased Disclosure: Evidence from International Cross-listings”, Journal of Financial Economics, 81(1), PP. 175-213.
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Barron, O. E., Harris, D. G., & Stanford, M. (2005), “Evidence That Investors Trade on Private Event‐period Information around Earnings Announcements”, The Accounting Review, 80(2), PP. 403-421.
Barron, O. E., & Karpoff, J. M. (2004), “Information Precision, Transaction Costs, and Trading Volume”, Journal of Banking & Finance, 28(6), PP. 1207-1223.
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آقایی، محمدعلی، علی ثقفی، غلامحسین تقی‌نتاج و جهانبخش اسدنیا، (1391)، "تأثیر اعلان سود فصلی شرکت‌ها بر تأمین نیاز اطلاعاتی ذی‌نفعان"، فصلنامه حسابداری مالی، 4 (16)، صص 39-1
صالحی، مهدی و فریبا عرب بافرانی، (1394)، "اثر اعلان سودهای فصلی و سالانه بر عمق بازار"، فصلنامه دانش حسابداری مالی، 2 (5)، صص 109-89.
Admati, A. R., & Pfleiderer, P. (1988), “A Theory of Intraday Patterns: Volume and Price Variability”, The Review of Financial Studies, 1(1), PP. 3-40.
AGhaie, M. A., Saghafi, A., Taghinataj, G. H., & Asadnia, J. (2013), “The Effect of Seasonal Profit Announcement of Companies on Meeting the Information Needs of Stakeholders”, , 4(16), PP. 1-39. (In persian)
Ahmed, A. S., Schneible Jr, R. A., & Stevens, D. E. (2003), “An Empirical Analysis of the Effects of Online Trading on Stock Price and Trading Volume Reactions to Earnings Announcements”, Contemporary Accounting Research, 20(3), PP. 413-439.
Ahmed, A. S., & Schneible Jr, R. A. (2007), “The Impact of Regulation Fair Disclosure on Investors' Prior Information Quality—Evidence from an Analysis of Changes in Trading Volume and Stock Price Reactions to Earnings Announcements”, Journal of Corporate Finance, 13(2-3), PP. 282-299.
Ali, A., Klasa, S., & Li, O. Z. (2008), “Institutional Stakeholdings and Better-informed Traders at Earnings Announcements”, Journal of Accounting and Economics, 46(1), PP. 47-61.
Asthana, S., Balsam, S., & Sankaraguruswamy, S. (2004), “Differential Response of Small Versus Large Investors to 10‐K Filings on EDGAR”, The Accounting Review, 79(3), PP. 571-589.
Atiase, R. K. (1985), “Predisclosure Information, Firm Capitalization, and Security Price Behavior around Earnings Announcements”, Journal of Accounting Research, PP. 21-36.
Atiase, R. K., & Bamber, L. S. (1994), “Trading Volume Reactions to Annual Accounting Earnings Announcements: The Incremental Role of Predisclosure Information Asymmetry”, Journal of Accounting and Economics, 17(3), PP. 309-329.
Bailey, W., Li, H., Mao, C. X., & Zhong, R. (2003), “Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses”, The Journal of Finance, 58(6), PP. 2487-2514.
Bailey, W., Karolyi, G. A., & Salva, C. (2006), “The Economic Consequences of Increased Disclosure: Evidence from International Cross-listings”, Journal of Financial Economics, 81(1), PP. 175-213.
Ball, R., & Shivakumar, L. (2008), “How Much New Information Is There in Earnings?”, Journal of Accounting Research, 46(5), PP. 975-1016.
Bamber, L. S., & Cheon, Y. S. (1995), “Differential Price and Volume Reactions to Accounting Earnings Announcements”, Accounting Review, PP. 417-441.
Bamber, L. S., Christensen, T. E., & Gaver, K. M. (2000), “Do We Really ‘Know’ What We Think We Know? A Case Study of Seminal Research and Its Subsequent Overgeneralization”, Accounting, Organizations and Society, 25(2), PP. 103-129.
Bamber, L. S. (1987), “Unexpected Earnings, Firm Size, and Trading Volume around Quarterly Earnings Announcements”, Accounting Review, PP. 510-532.
Bamber, L. S., Barron, O. E., & Stober, T. L. (1999), “Differential Interpretations and Trading Volume”, Journal of Financial and Quantitative Analysis, PP. 369-386.
Bamber, L. S., Barron, O. E., & Stober, T. L. (1997), “Trading Volume and Different Aspects of Disagreement Coincident with Earnings Announcements”, Accounting Review, PP. 575-597.
Banerjee, S., & Kremer, I. (2010), “Disagreement and Learning: Dynamic Patterns of Trade”, The Journal of Finance, 65(4), PP. 1269-1302.
Barber, B. M., & Odean, T. (2000), “Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors”, The Journal of Finance, 55(2), PP. 773-806.
Barberis, N., & Huang, M. (2001), “Mental Accounting, Loss Aversion, and Individual Stock Returns”, the Journal of Finance, 56(4), PP. 1247-1292.
Barron, O. E., Byard, D., & Kim, O. (2002), “Changes in Analysts' Information around Earnings Announcements”, The Accounting Review, 77(4), PP. 821-846.
Barron, O., Byard, D., & Yu, Y. (2010), “Earnings Announcement Disclosures That Spur Differences in Interpretations”.
Barron, O. E., Harris, D. G., & Stanford, M. (2005), “Evidence That Investors Trade on Private Event‐period Information around Earnings Announcements”, The Accounting Review, 80(2), PP. 403-421.
Barron, O. E., & Karpoff, J. M. (2004), “Information Precision, Transaction Costs, and Trading Volume”, Journal of Banking & Finance, 28(6), PP. 1207-1223.
Barron, O. E., Kim, O., Lim, S. C., & Stevens, D. E. (1998), “Using Analysts' Forecasts to Measure Properties of Analysts' Information Environment”, Accounting Review, PP. 421-433.
Barron, O. E., Stanford, M. H., & Yu, Y. (2009), “Further Evidence on the Relation between Analysts' Forecast Dispersion and Stock Returns”, Contemporary Accounting Research, 26(2), PP. 329-357.
Battalio, R. H., & Mendenhall, R. R. (2005), “Earnings Expectations, Investor Trade Size, and Anomalous Returns around Earnings Announcements”, Journal of Financial Economics, 77(2), PP. 289-319.
Beaver, W. H. (1968), “The Information Content of Annual Earnings Announcements”, Journal of Accounting Research, PP. 67-92.
Bhattacharya, N. (2001), “Investors' Trade Size and Trading Responses around Earnings Announcements: An Empirical Investigation”, The Accounting Review, 76(2), PP. 221-244.
Bhattacharya, N., Black, E. L., Christensen, T. E., & Mergenthaler, R. D. (2007), “Who Trades on Pro forma Earnings Information?”, The Accounting Review, 82(3), PP. 581-619.
Bhushan, R. (1994), “An Informational Efficiency Perspective on the Post-earnings Announcement Drift”, Journal of Accounting and Economics, 18(1), PP. 45-65.
Blouin, J. L., Raedy, J. S., & Shackelford, D. A. (2003), “Capital Gains Taxes and Equity Trading: Empirical Evidence”, Journal of Accounting Research, 41(4), PP. 611-651.
Botosan, C. A., Plumlee, M. A., & Xie, Y. (2004), “The Role of Information Precision in Determining the Cost of Equity Capital”, Review of Accounting Studies, 9(2-3), PP. 233-259.
Campbell, J. Y., Ramadorai, T., & Schwartz, A. (2009), “Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements”, Journal of Financial Economics, 92(1), PP. 66-91.
Campbell, J. Y., Grossman, S. J., & Wang, J. (1993), “Trading Volume and Serial Correlation in Stock Returns”, The Quarterly Journal of Economics, 108(4), PP. 905-939.
Chae, J. (2005), “Trading Volume, Information Asymmetry, and Timing Information”, The Journal of Finance, 60(1), PP. 413-442.
Chen, L. H., & Sami, H. (2008), “Trading Volume Reaction to the Earnings Reconciliation from IAS to US GAAP”, Contemporary Accounting Research, 25(1), PP. 15-53.
Cready, W. M. (2007), “Understanding Rational Expectations Models of Financial Markets: A Guide for the Analytically Challenged.”, Available at SSRN 999409.
Cready, W. M., & Hurtt, D. N. (2002), “Assessing Investor Response to Information Events Using Return and Volume Metrics”, The Accounting Review, 77(4), PP.891-909.
Cready, W. M., & Mynatt, P. G. (1991), “The Information Content of Annual Reports: A Price and Trading Response Analysis”, Accounting Review, PP. 291-312.
Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998), “Investor Psychology and Security Market Under‐and Overreactions”, the Journal of Finance, 53(6), PP. 1839-1885.
Demski, J. S., & Feltham, G. A. (1994), “Market Response to Financial Reports”, Journal of Accounting and Economics, 17(1-2), PP. 3-40.
Dontoh, A., & Ronen, J. (1993), “Information Content of Accounting Announcements”, Accounting Review, PP. 857-869.
Fama, E. F., & Markets, E. C. (1970), “A Review of Theory and Empirical Work”, The Journal of Finance, 25(2).
Fischer, P. E., & Verrecchia, R. E. (1999), “Public Information and Heuristic Trade”, Journal of Accounting and Economics, 27(1), PP. 89-124.
Francis, J., Schipper, K., & Vincent, L. (2002), “Expanded Disclosures and the Increased Usefulness of Earnings Announcements”, The Accounting Review, 77(3), PP. 515-546.
Fung, W. K., & Hsieh, D. A. (2006), “Hedge Funds: An Industry in Its Adolescence”, Economic Review-Federal Reserve Bank of Atlanta, 91(4), PP. 1.
Garfinkel, J. A., & Sokobin, J. (2006), “Volume, Opinion Divergence, and Returns: A Study of Post–Earnings Announcement Drift”, Journal of Accounting Research, 44(1), PP. 85-112.
Grossman, S. J., & Stiglitz, J. E. (1980), “On the Impossibility of Informationally Efficient Markets”, The American Economic Review, 70(3), PP. 393-408.
Grundy, B. D., & McNichols, M. (1989), “Trade and the Revelation of Information through Prices and Direct Disclosure”, The Review of Financial Studies, 2(4), PP. 495-526.
Hirshleifer, D., & Teoh, S. H. (2003), “Limited Attention, Information Disclosure, and Financial Reporting”, Journal of Accounting and Economics, 36(1-3), PP. 337-386.
Holthausen, R. W., & Verrecchia, R. E. (1990), “The Effect of Informedness and Consensus on Price and Volume Behavior”, Accounting Review, PP. 191-208.
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