Underreaction, Trading Volume and Post Earnings Announcement Drift
| Author | : Wonseok Choi |
| Publisher | : |
| Total Pages | : 51 |
| Release | : 2001 |
| ISBN-10 | : OCLC:1290402569 |
| ISBN-13 | : |
| Rating | : 4/5 ( Downloads) |
Download or read book Underreaction, Trading Volume and Post Earnings Announcement Drift written by Wonseok Choi and published by . This book was released on 2001 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we develop a simple model in which trading volume contains information about future stock returns. Specifically, our model explains why high trading volume is observed when a firm announces earnings news and how trading volume can be related to the initial underreaction of the stock price. Our model has a clear testable implication that high abnormal trading volume predicts a stronger drift. We test our model's implication and find strong evidence for the model in the case of positive news. Weaker evidence is found in the case of negative news. We also discuss possible explanations for the asymmetric informativeness of trading volume.
