Abnormal trading volume around earnings announcement periods increases with the level of market uncertainty (market return volatility and VIX). The findings indicate that investors have more differential interpretations of firms’ earnings news when they are uncertain about market conditions. effect on the magnitude of the drift after earnings announcements by looking at trading volume. We pay attention to the fact that abnormally high trading volume, unrelated to the magnitude of price changes, is generated around earnings announcements. Kandel and Pearson (1995) show that even when there is little price change, a considerable day from t-5 to t-1 and t+1 to t+5, where day t+1 is the first trading period following the earnings announcement. We also include the cumulative daily effect on days t+2 through t+5 as this period captures the total impact of the slower reaction. Trading the earnings announcements before and after the event utilizing options and option spreads is an alternative trading approach that can be very rewarding with a favorable risk/reward profile. Earnings announcement premium – Page 1 The relation between trading volume and prices in asset markets is not well understood. In the purest neoclassical model with homogenous agents, prices adjust with no trading at all. Trading Volume Reactions to Earnings Announcements and Future Stock Returns 1. Introduction Earnings announcements (EAs) result in investor reactions on two dimensions: price reactions and trading volume reactions. A growing body of literature asserts that the primary
Table 1 shows the descriptive statistics for the main variables: abnormal trade volume, earnings surprises, market uncertainty, liquidity, and firm characteristics variables. The mean earnings surprise is 0.005, and the mean abnormal trading volume (in logs) is around 0.591. 4 Landsman and Maydew (2002) find that the average daily turnover of a firm’s shares increased tenfold from 0.06% to 0.6% and that abnormal trading volume at quarterly earnings announcements increased significantly over the period 1972–1998. ^ dark pool trading volume "SEC Charges cloud mining free websites ITG With Operating Secret Trading Desk and Misusing Dark Pool Subscriber Trading Information". Larger range of order types. Dark pool liquidity is the trading volume created by institutional orders executed on private exchanges and which are mostly unavailable to the public. in the weeks around earnings announcement and analyst recommendation revisions relative to the weeks when the same firm has no announcements. Thus, if an information event increases trading in exchanges as well as dark pools, DEPVOL changes if and only if the increase in dark pool trading levels is greater than the trading increase in exchanges. To
This represented nearly a 9% gain from the day before. But Apple is hardly the most impressive; 17 companies saw gains of more than 15% the trading day after their earnings announcements. Notable companies like Amazon rose 15.77%, Cirrus Logic rose 18.62% and Expedia rose 26.53%. According to the CFA Institute, non-exchange trading has taken off in the United States. Estimates show that it accounted for approximately 40% of all U.S. stock trades in spring 2017 compared with an estimated 16% in 2010. The CFA also estimates that dark pools are responsible for 15% of U.S. volume as of 2014. Abnormal trading volume around earnings announcement periods increases with the level of market uncertainty (market return volatility and VIX). The findings indicate that investors have more differential interpretations of firms’ earnings news when they are uncertain about market conditions. effect on the magnitude of the drift after earnings announcements by looking at trading volume. We pay attention to the fact that abnormally high trading volume, unrelated to the magnitude of price changes, is generated around earnings announcements. Kandel and Pearson (1995) show that even when there is little price change, a considerable day from t-5 to t-1 and t+1 to t+5, where day t+1 is the first trading period following the earnings announcement. We also include the cumulative daily effect on days t+2 through t+5 as this period captures the total impact of the slower reaction. Trading the earnings announcements before and after the event utilizing options and option spreads is an alternative trading approach that can be very rewarding with a favorable risk/reward profile. Earnings announcement premium – Page 1 The relation between trading volume and prices in asset markets is not well understood. In the purest neoclassical model with homogenous agents, prices adjust with no trading at all.
abnormal trading volume in the days after the announcement than PC announcements. We also find that earnings news is incorporated into stock prices in a less timely manner for PO versus PC announcements. Specifically, we find a muted stock return reaction to earnings on the first trading day after PO earnings announcements relative to PC an- This represented nearly a 9% gain from the day before. But Apple is hardly the most impressive; 17 companies saw gains of more than 15% the trading day after their earnings announcements. Notable companies like Amazon rose 15.77%, Cirrus Logic rose 18.62% and Expedia rose 26.53%.
26 Feb 2010 [I]n my mind the failure to explain the volume of trade looms as the major dark continent for explorers of this terrain.” Ross (1989, 94) earnings announcements. Evidence is provided that the trading volume response is positively associated with the information content and to some extent with As a result, dark pools have an amplification effect on price discovery. That is, when Market fragmentation and post-earnings announcement drift. Article. Currently, HFTs' trades are a significant fraction of total market volume. High frequency trading; earnings announcements; earnings response coefficient; is- it-a-dark-force-against-ordinary-human-traders-and-investors/#6e81f46e51a6. 5 Sep 2019 A possible way trading volume could mislead an investor is if a company releases a fantastic quarterly earnings report. After this release, there 23 Dec 2014 The fragmentation of trading—between exchanges and dark venues, “pecking order hypothesis” for the fragmentation of trading volumes, in line data with intraday VIX and earnings announcements by firms in our sample. Although there is ample theoretical and empirical evidence that earnings announcements are associated with an increase in aggregate trading volume, there is a paucity of evidence of the impact of earnings announcements on the proportional trading volume between dark and lit trading venues. Whether dark market share increases or decreases at