Evidence That Investors Trade on Private Event‐Period Information around Earnings Announcements

摘要: Holthausen and Verrecchia's (1990) Kim (1997) theoretical models predict that private information inferred at the time of an earnings announcement (private event‐period information) is associated with greater trading volume. We provide empirical evidence consistent these theories. Specifically, announcements increase analysts' (as measured by Barron et al.'s [1998] proxies) are increased volume, some investors similarly acquiring information. In addition, decrease consensus more Because declines when increases, this finding provides reinforcing trade following because becomes useful only in conjunction important enough to spur trading.