Explanatory factors for trading volume responses to annual earnings announcements: Evidence from the Korean stock market

Jong-Seo Choi and Chongwoo Choe

Pacific-Basin Finance Journal, 1998, vol. 6, issue 1-2, 193-212

Abstract: This study provides empirical evidence regarding the effect of annual accounting earnings announcements on investors' trading behavior in the Korean stock market. Unexpected earnings (UE), the degree of predisclosure information asymmetry and risk change are hypothesized to have positive correlations with abnormal trading volume around the disclosure date. On the other hand, a negative relationship between firm size and trading volume around the disclosure date is hypothesized. Empirical studies using non-parametric testing procedures confirm most of the research hypotheses except for risk change effect.

Keywords: Trading; volume; Earnings; announcements (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (3)

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Working Paper: Explanatory Factors for Trading Volume Responses to Annual Earnings Announcements: Evidence from the Korean Stock Market (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:6:y:1998:i:1-2:p:193-212

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