Earnings Announcements, Asymmetric Information, Trades and Quotes

Jean-François Gajewski ()
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Jean-François Gajewski: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper empirically analyses trades and quotes around the times of 37 earnings announcements in the Paris Bourse. We find that trading volume is larger on announcement days, spreads are wider after announcements, and the permanent positive (resp. negative) price impact of purchases (sales) is greater around announcements. While the findings pertaining to the spread and the permanent impact of trades are consistent with the view that earnings announcements correspond to an increase in information asymmetries, the result that trading volume is larger suggests that other effects are at work.

Keywords: Earnings Announcements; Asymmetric Information; Trades; Quotes (search for similar items in EconPapers)
Date: 1999-11
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Published in European Financial Management, 1999, 5 (3), pp.411-424. ⟨10.1111/1468-036X.00102⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04131480

DOI: 10.1111/1468-036X.00102

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