Intra-Industry Transfer of Information Inferred From Trading Volume
CERGE-EI Working Paper Series No. 663
31 Pages Posted: 27 Oct 2020
Date Written: September 1, 2020
This study examines the responsiveness of trading volume to a firm’s earnings announcements We find that the volume and earnings surprise information generated at the first earnings announcement within an industry help to explain the stock returns of the non-announcing firm. Specifically, it explains their equity performance at the time of the first industry announcement and then again after their own earnings announcement. These results provide novel insights into how earnings announcements contain both firm specific as well as industry information that is value relevant for investors.
Keywords: intra-industry; earnings announcement; earnings surprise; trading activity
JEL Classification: G14
Suggested Citation: Suggested Citation