The role of quarterly earnings announcements on the relationship between traders' trading speed and cumulative abnormal stock returns

Subject Areas : Financial Knowledge of Securities Analysis

Hossein Emsakpur ¹ , Sina Kheradyar ² , Mehdi Homayonfar ³ , Mehdi Fadaei Eshkiki ⁴

1 - PhD student in financial engineering, Ghazvin unit, Islamic Azad University, Ghazvin, Iran
2 - Department of Accounting, Rasht Branch, Islamic Azad University, Rasht, Iran.
3 - Assistant professor, Industrial management group, Rasht unit, Islamic Azad University, Rasht, Iran
4 - Assistant professor, Industrial management group, Rasht unit, Islamic Azad University, Rasht, Iran

Received: 2021-05-04 Accepted : 2021-05-04 Published : 2021-02-19

Keywords: Seasonal earnings announcement, trading speed, abnormal cumulative return on , information asymmetry,

Abstract :

The goal of this research is to study excessive trading speed of traders on abnormal cumulative return on stocks around seasonal earnings announcements. Research sample includes 161 companies from listed companies in Tehran stock exchange that includes a time period from the beginning of 2013 to the end of 2017. Results show that excessive speed of traders around seasonal earnings announcements has meaningful relation with abnormal cumulative return on stocks, and leads to increase in abnormal cumulative return on stocks, that this increase in time limit of one month before and one month after earnings announcement related to fourth quarter of the year (fourth announcement) is weaker than first, second and third quarter. As a result, existence of high trading speed of stocks in all four time points affects abnormal cumulative return on stocks  and leads to development of the theoretical framework of information asymmetry , because quick deals around earnings announcements leads to renew the gap between information released in market  and traders information , and increases  information asymmetry in market.

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