Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements

J.B. Kim, I. Krinsky and Jung Hoon Lee

Quantitative Studies in Economics and Population Research Reports from McMaster University

Abstract: This paper empirically examines the incremental relation between trading volume surrounding quarterly earnings announcements and institutional holdings. Consistent with Cready (1988) and Lee (1992), we find a significant positive relation between abnormal trading volume and the fraction of institutional ownership during the period immediatly following an earnings announcement, after controlling for the magnitude of the associated price reaction and the dispersion of analysts' EPS forecasts.

Keywords: FINANCIAL; MARKET (search for similar items in EconPapers)
JEL-codes: G10 G13 G34 (search for similar items in EconPapers)
Pages: 24 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:mcm:qseprr:314

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