Earnings Announcements, Private Information, and Liquidity

16 Pages Posted: 8 Mar 2006

Abstract

In this article, the author examines how the price impact of a trade varies throughout the days surrounding public earnings announcements. The results indicate that public news releases correlate with a reduction in the price impact of a trade on the day of the announcement.

Keywords: earnings announcements, liquidity, price impact, Information and Market Efficiency, Event Studies

Suggested Citation

Furfine, Craig, Earnings Announcements, Private Information, and Liquidity. Economic Perspectives, 2006, Available at SSRN: https://ssrn.com/abstract=889023

Craig Furfine (Contact Author)

Kellogg School of Management - Department of Finance ( email )

Evanston, IL 60208
United States

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