The Earnings Announcement Premium and Trading Volume

Owen Lamont and Andrea Frazzini ()

No 13090, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.

JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2007-05
New Economics Papers: this item is included in nep-mst
Note: AP
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Citations: View citations in EconPapers (72)

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