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~~.ft 'i~f01;1:.1~IJPJTfi' 0 ~(l0)~it.*-3C.1t#.l1ft~1tJ& f0:t -t-.t~~ , ~it1l~ ?.t~ ( M );f11~~ ~ # ,ti~ it(a ,Z) /]11 ~A.tt lji~ 1t ' ~,fi J!:I:. ~;flij;fJt ilJ~ttL,~;f~
n~ f0x b) y 'ittL&~~ n~~ 0
-If'bff1E4*w~~m£~w%f0.*~~*'A.~.*~~~f0xb)Y~~*~*
~mit.~.%:t-t-'i*'~~£~'i*f0#.(~••f1.&).it.fi'~*f0
:t -t-~ -t:t. - 0 *3C.t~mSUE(Standardized Unexpected Earnings ' r.~;fjj SUE)~
FDC(Five-day Cumulative Abnormal Return ' r.~;fjj FDC);flij;fJt£ ~*,~ f0 #. 0
W~ SUE f01A ' Jj it. w*,~ w% p\]~ f0 *- • *1t1.q. , ~ J!:t. ~A SUE 11= ~;flij tJt~.~'i*I.f1.&~'~~~~~£*-ffi~#f0~~;~.~T,~rnC;flij
tJt~.~'i*f0I.f1.&~,~~it.~.*~Mtff0Jft~*.~1f~'FIT~
.~~A.~~.ffif0&J.t*~.'i*f0.~f1.&'~*3C.*~.~rnc~
WEf0~§~.~~.*••~*'~~~~.f0it.~~_.~~P\].xb)f0fi'om.*-3C.~~f0~itJtA~1f••~*M~T:- , 1.~*f0JtA~~it" :
~ T ;flij;fJt~ ~ 'ittLPJT1f*f0I.~t*~~~, *-3C.t~ mSUE ~~A&1i. a Jft~*.~FDC*~~I.~*f0~~~it,JtA~~X~~~T:
(-) {~4!1l:.~fflJiJL~~(SUE)
1.~ ffl JiJj £ ~(Unexpected Earning) f0it Xw~ EI ~&J p\] 'ijf41l~1tm -MA~4!1l:.~fflJtJj£~(SUEH~~ , ~ J!:t.**
3C.1f.~~.SUE*~~JtA~T:
e.-E(e)SUE = I I. • • • • • • • •• • • • • • • •• • • • • • • • • •• • • • • • • • • •• • • • •• • • • •• (11)
5e,-E(e, )
~:~~~i~~~w%.~£~'i*
E(e j ) : fflJiJj£~J!'J~A~~ ~(i-l)JiJjFITW%f0£~'ittt
(11) ~~~.g~~1-\~~fflJiJj£~f0~5tA~4!~ , fJ. .1!J:- El 't1¥-~~ 1i.1¥:t.FlT1fw%'i*tf'*ff~~~~1i.1¥-~ffl~£~f0~~~4!~~~~~1¥
5[e j-E(e j ) ] f0 *5~1 0 'ijf4lft § ~ ~~£.iftRo'T~a. l-jf4Jl ' ~-f.g~~f0 'I jf4 * § t\
&J 861¥-.f..t\&J 90 1f-MJ.:J.'t1¥-1f~1t1..~£~l-ttL~'t~£~ (ei ) , m1J.:J.f'J~
l~A~~I~~%~ E1 ••~~~~-,~~~~~aE~E1.A~%.~ ' ~~mka&.~k. i El . ' ~A T .~~.A~#~~~ ' *~.M~ I~~I~~%
jf1fl.?r~1t.A s ~1;c~.1:rr.**' '~Jl:t~~pif1t.tlJ~~ffiJtA&.iJl'As ~!:t~*
.%~'A~.~.~T~~~~.&.~%~~*~,~ttk~••M.~~~~i!!iL;f~~ 0
i; ;'f 'if II "f: f'J1j'; 4 4 1j'; 1 JlJj , 2004 ~ 2}j 93
~#~*t 8 :¥IiJ.!;:£ {f.; ~J:. rp~ §) ~jl ~'€; %/J; fftJiA jl~(E(ei) )Jt-,*1t.~~M1:..~~~M~.ili~{f.;;~*~~~~&~ ••1:.{f.;_~M~.#8~~~.
PIT~1. {f.; fft JiA jl~# 't~ jl~M{f.; 1:..-'*1t./J;~~ tJ, rTiJ ~.1t 0
(-=-) ~:fA- ~ 'f:¥li~(Cumulative Abnormal Return)*~.tl~ ~*{f.;M-=-.~~k~.~#:¥Ii~ (~~ ·~~8~J.!;-.
hJf 1E JiA M. &p jl~ '€; %of 8 a ~~t~~ 8 # tt ~ 8 2 , Jlt. t {f.; EI {f.; k ~ ff wjl
~'€;%.{f.;•• {f.;tt~ (~~.~'f:¥li~) ·~~.~ttW~{f.;I~.& ·~
.~~:ku ( 12) ~ :
I
FDC= I r., (12)1=-1
.z: ' ~1:.~ ~ ... {f.; ~ ,l# tt$- :*~~.#hJf1E*.~~~t~%{f.;Wm'~~'€;%rTiJili~{f.;~~~J.!;~
.fia·~.~~~~.~%~*.~{f.;~~t·~~~~~~t.~rp~~
~.*~rp~~~.~~t,~~~.#MMt••tt ~.~§)#~{f.;ti.~
••*~~l:.~~t·.~• • ~ l:. ~ ~ t•• '€;%.{f.;:¥Ii.k~~~, ~l:.
~~ :i{f.;tt.~.:kur :( - ) tt . rp!~{~.iE1t~ ~ t
~~~~~.#I*{f.;-••&{f.;~~t,PIT~~~*~rp~• .iE.~~
t(market-adjusted trading volume){f.; W~fl ' tt .~~:ku ( 13) ~?!T7f- :
T0 itk = a i,t-l + fJ i.l-l MktTOik + V ilk ( 13)
T0itk : i ~§)~M t.,~ k 8 {f.;il!*, :rs- ( of 8 x.~ thm.ii~9rJ&:it)
MktTOik : J&:~ rp!~ X. ~ il!-,* :rs-
Vilk : i ~ §)~Mt . ,M k 8 {f.;rp!~l~ .iE1t~ ~ t( -=-) ?~l:.~~t
J.!;l~~~l:.~~t~~.m~.& '~~~#••tt~~a~§)#~~n~{f.;x.~t~t:ii'fIiJiJ!l.~;j:!T'(14) ~J.!;*~iJ!l.~;j:!T{f.;~~t~~, J!:c.bt1t~ffl••~~tt~t{f.;~fi~J.!;~~~·:kur:
V ti = a i + fJ i • ILV> ti I+V tl .. • .. .. .. .. .. ( 14)
Vti:J&:~i~MMt{f.;rp~• .iE.~~t
Isr;I : ~% . 14=-1 t {f.; s: 8 ~ it~ 'f:ta.~(FDC)[email protected]~
2~ tt-y @l PH'H§nn fIJ ;z:,!lk 'f ' :k..g~ 'lttt~ ~ ~ J'(. f :t1l~J'lT1~ mfIJ .1f 8 .-t t~ 1t. !-~~8A ~, ~ m @l ~ a.&. 1t.4 :k.~~ 1t. :k.~ fIJ * OCT ' .~~ l t ~ A ~.~~
~1t.~~*~flJW*.~• • ~ ~a~.#8 M MfIJ~ l t&~ 1t.~~ . ~fIJ , AT
~.4f1JMK~~ltJ'ITa+ flJW* ,~~.4~ff ~ftJ'(.f.~ fIJ ~~*'.~1
8 fIJ ~ ;ft J'(. ,*":tll~A~ (five-day CAR ' rMil- FOC) 0
~ T 3!! *' x.lh i:~ f'J J!t'if a!J fj ~ , (15 ) A;/;u AJ!t'if a!J~~~ it ' ;/;u AJ!t~~k~T~~x.lh&*~a!J~A,~*J!t~~.~,~.t~~~«.a!JW
7t J;!:. i"~1~-,~+ ' M:. I§ JI:!:.~ ~E. ~ tlpJi.fiA a!J X. ~ i: &.J.t ' {~A~ (IS ) APlT 7G :
VIi = a i+fJil °IM1il+fJi2 ° price/i+ vli·· · ··· ···· ····· ···· ····· .. ··· · · ··( 15)
priceti : In(J!t'i1t )
~~~~ ~.~~R.a!JJ~'A~7t.~~a!JR.&x.i:4k~,I§~
1£ tt 1f.f~~ x.lh i ~ , ;y,t J.t#it ~ ~ mA~ I§ *~ l;1£ pq , ~ ( 16) APlT-F :
Vii = a i+fJil °IM/i I+fJi2 ° sizeli+vli · · · · · · · · · · · · · · · · · · · · · · · · · · ··· · · · · ··(I 6 )
size ; : In(t~A~)
~~~~2~~.~AaR+~*a!JM~ ,~~~~~.*A 'A.m~
l~g&*~ , J!rJ1f ~~~.J~~~1tx.~ i: ' l~f.¥.&~~Jt4*m FOC ~
SUR ~1f~ji{t.,{a!J ~t* 0 1£J;l:.~l~g&~~~ ~{~tt.J~~~1tx.~ i:~fj~
~ ' .~~~.~~.~1f~~.~~#~fj. '~••~~.~x.lhi:M.FDC 1, FDC2, FDC3 ~ FDC4 ifQ~i~ , ifQ 1£~ ~ ~{~ 1f til {J;{ ~.t1~ ~!.!1( 0 ~ ~
~~l;~{~~11t.I§i\ ' ~~ (I7) A PlT7G :
VIi = ai+fJil °IMlil+fJi2 ° priceli+fJi3 ° size i s v; (I7)
~~J!t~~~~.~~~fj.~~~~*'~~fj~••N.~M~~~t-f'if' ~I§ifQfj .x.lhi:' PlT l-A #~ i:~.t~ J!t J;l:. $ ~A~~~it~-, -!to (I8 )A:
V I; = a i+fJil ° IM li1+ fJi2 ° price; + fJi3 ° JOli+Vii (I8 )
io; : i:j;i*t~RW ~J;!:.
~ ;".f * If. "t f ll~ 4 4 ~ 1 !!1! ' 2004 1¥- 2 ~ 95
market-adjusted
volume
3
FDC quantiles4
size 1
• size 2
o size 3
SIze
marketadjustedvolume
msize 1
• size2
o size3
size
SUE quintile
Panel A J;(JJljjffJlFDC #/JfiII.if!JI1-IJ$.J%'- 12 f!JJAlI1 ' ltl~.;r:RJJljj{fJl FD .m.~ t" S!J 7/f.fJ1tJ!l!1fix IJit; Panel B JI1-JJljj{fJl SUE #/f!JJII.if!JI1-jJ*#~ 7J'-~ 12 S!J,rqAlIt ' ltl~Jf6 12 f!JJ-8f-ItS!J7/f~~~fixlJ it S!J*~ o JJl jjf~~# S~#-* 7/f~ ff#ff o
~13~~~*~B*-.'~.~I••£**'~~•••#a~.~~'+~~~~~k~~~~~~x~t'~~~~~~~~~~x~t~
~~~~ho~~~~~0~#~~.~#~A~.~~'~AA~~~~~~
~£ X. ~ -t ' Jt·tH~t\.-ku (19) ~ :
Vii <a, +Pi! -, I1Ftii+ fli2 - price; + flu • size; + fli4 • 10'i +V'i (19)
marketadjusted
volume
FDC quintiles
.i.a.l
-i.a.2
Di.G.3
institutionalownership
marketadjustedvolume
SUE quintiles
.i.a. 1
.i.a.2
Di.a.3
institutionalownership
Panel A.k .IX FDC PMtflf.#t:lA(#.Ii ~iJ:-At.ifJ.)./I;.I'Jj;"-jf..J!1F ' Ntl~ 12 fIJJ§l-ltfIJ -;pJlfJiF.1i.ff.~:f: ' Jt. <t FDC 1iIJ.~!/Ui $'..n. EJ #f1/(1j;:'J,;'!JJ(. '$'":fIl4HI8!;/;o.~ , 1JljJ(P.1h( #11 EJ ~#i-.1f. -,pfJtf-KfJft;,' Panel B.Ittj.i.J;!i JilSUE riII.t$$f.Atflf.#tMJllj~$:J?tK ;,"-./1; 12 fIJj§l-lI ' Jf.!i JJt IlIUl-.tt 12 fIJj
§I-:Ittr!; iffJl fJ-iF. Ii.x j;j -I.' ;'!;it JJl 0
~ '" T Jl "" fiJ~ 4 t- ~ 1 jlJl • 2004 1f- 2 ~ 97
-'IIJ*37i-lJriii 4'1iI5 - ~1iI6 )lJj;}!:7i->5IJffl(15)i( -(17) i(~ ( 19 ) i(:i!'f-T~~7i-llf'
J:J. 1Jl~ JI!Jt :fHf..J -arf. J1J I!J ~W%mJ tlPJUI-J ~ ~ • (-t!!.~tk ~~~ ~ ~ .) , mJ Jl;!:.~ *~#~#•• -~~a'm7i-~~.aC~ft*-7i-lJr.'~~7i-~-~.~~
~.~••ft*--arf.w%••*~*~ '~~lJr#*~T.a_.*I••&~~*-~~~A~~~~,~~-arf..*.ffl~~.~~~.~~~.~~ili
I*W* o~IDC#~'~1iI4*.*7i-~.~~A~f~~~~~#~~
•• '.~M~M.*M~.~~~~**-t!!.~~~'.~ffl#~~.~~M~~~ ~ ~ • ;Wllf ili *- 0 J1 9r~ J:J.1t JJt FDC • -7i-1:rr.~ FDC • m7i-1:rr. ~ ~~~ ~6••* ••~.~6••*~~*-~A~~&'~-t!!.*~~.~~~.~*.~.*~AI~.~,~.*~**~&-t!!..~~A~f~~#~~••~
.~8JH!~ ' *.~~, FDC 6.~7i-~';iL~~-arf.J 'J~ ~~~~~~6.~1l:. ••11i~~ ~ ~ ~ *-~ 8f} MJL~ ~ ~ 9r:tlffi: ' ~ 11i.~~ ~ ~ iIh .~M .¥.JJt-'~-f- f&.1::...
* '~*.~ ~~~~~.~A*'.~.~~*~~*~~A~ i*AI~ ':i!mJ~~_A~&~W% ••*~.;&.~.~~~I!J~.~.~~.*AI~~~~A'ffl~~w%••*.~-f-~JLf&~ o~M*~.~~.~
~;fJ4.-.f5t 0 w~ SUE ~lR.k!-AW%P\] ~~*-I*- iR:~I.ag.& ' ~ FDC Mlt4i;f~:ft.~&J.t i*~I••&' 1!JJl;!:.' FDC {:J1JP\].~~~T;fi:t~+' FDC.~WE~~M ••~~I••&o~*-~~~*M*-t!!.&~T~~.~'IDCT~~~t.+.f~~~*ft.*m~.*o
105
o~ -5
-10-15-20
DAY
~FDC I~~£
-FDClfJJ.~£
---6-FOC4~~£
--*'- FOC 4fJJ.~£
10
5
::! 0v -5
-10
-15DAY
!If 3 f{A! X ~ :# if: J:« 15)A"ilUfifEjf:h\./If/.l!'tfPf •jp$1f!Ji~ FDCI ·In(price)jJf. dummy variable ' Jtflf SUE1· SUE 4 1iIJ.#.#!-FDC I ·FDC4 Iiit# Jiil )f'/g :h\.4 r¥i /iA!#!-lM i A! P1iJ 1W0 # . J:<JitftlHIJt~Ii. tF;;I!# tF;
lJiI#. •
10
5o
~ -5
-10
-15
-20
"""""- FOC 1~9ii!t
- FDC lflt~i!t-&-FDC 41%~i!t
. ~-- FOC 4fJS.~i!t
10
5
-10
-15
"""""-SUE 1~~i!t
- SUE l{lt~i!t
-&-SUE 41%9ii!t~SUE 4flt~~
!R3 f1~X ~ # £f. JX(l5) ..'Uf!ffi!!J1f»\.IJf!i.JiJfI! ' ftf#!/~Jt.4 IFDCI ·In(price)JIt. dummy variable ' .1i.J/!SUEI, SUE 4 E!I;.#.Jlt.FDC I · FDC4 E!I; .#. 1l!l$J/flIjN1;r¥iR~ ft! ftJ.f1~#;1l!l#;#fI' JXJt/tlH/ :£ 1f-!i.#;J!l##;IU~ o
~5~.~#r~~~~~.a~~~
A.tJ- FDC 1 ~ FDC 4 ..f£(19)i(.~.~;fJf4lP1f~~~ dh~",~w%4lil!~
15105o
5·5-10-IS-20-25
-+-FDC 1 1%~~
- FDC lfJS.~i!t-&-FDC 41%~i!t
~-FDC 4flt~i!t
-+- SUE l jlj1]~~
-'-SUE lfMti!t---£r- SUE 4~~~
- x- - SUE 4flt~~
10
5
o~ -5
-10
-15
-20
11/3 R~x~:I· £f. JX(l5)A jf!ffi!!J1fj/\.IJf !f JiJfI! ,ftft1!f1f..4 IFDCj ·In(price)ft!dummyvariable ·.1i.J/!SUEI • SUE4 E!I;#:'p! FDC I · FDC4 Filuil.1iJJ.81flI jN~,ij/iA!!41iJ./i~#/Ii9t1-Jsta' Ju t.ft.4 r / :£ 1f-!i. !f!;Jl# #;Iii-/. 0
iI ~ f" f.l ~ flJ
~ 4 % ~ 1 jlJI • 2004 1f- 2 Jl 99
i: ' ~. 7t-:fJT .tt*~l~m7t-#~*,*~~.~m~#a.7t-#~I.ffl~~~~~o~
~~*1~~~.~fflWE~mC'4~#Mt.~.~~.~~~lftA
~~~'~#~~~60 8~lftA~~~.~~~'A~l~~~.~~~
~~'~~.~••fiI.~.~A~~~.o~••~.~~I.~a••~'~I.~~~~4.~~•••#~~*~wm~~'~~~I.~~.~l:..t1:z.1~~~;1f ~~* 0 * 2' 3 • SUE ~ I!'J100 7t-1ft~ TDC ~ I!'J1~ 7t-1ft 7t- JiIJ1.l(A (17) ~, (19) t\.J:A;~J}7~1:~I.' ~*~1:~I.~~4ij;--7t-1ft7t-J£
~'~~1:~I.~ •• ,~~#J}4ij;--7t-~~~'~~1:••~~ 81.A~:¥Ii~(Drift60)3~ 90 8 I.A 'f:¥IiID!i(Drift90)4oIE * t ~ W;j'41fm~t~~~
.f§{~~ FDC ~k SUE ' ~~~~JtjJM~ 60 8~k 90 8 ' ~7~1:.~1~7~1:
.M~~.~~*;1f~.~1:Ao~~~m~.FDC~kSUE~-'=-~~
7t-1ft~1:A*~ k ~ 1t ' mJ ~ 1!'J7t-~M ~~1t ' .~'t Wm~ l~~~~~B~' ~7~1:~I.~lftA~~ID!i-t-+~1~7~1:~I.' mJ'tl~~~:ifl:+
*'~~1:~I •••~~.~~~M*~~~1:~I.~•• o'tl~~~
.~*'~~.~~*~*T~'A~7t-T~~~1:~I.k.-t-~~~1:~
1 •••~k••~*~T.~;&~'tl~~~.~*'~~.~••k~*~*~'A~7t-T~~~1:~I••4~k••~~~1:~lt••~k•• ~*~~.~'*~~~1:~lt••~;1f.t1~~.mAI~o
.lA~~.**~~~~~*T~a~.~t·ffiCA£8.#MM~I.A*.~
(t CAR 't=0 BtA.1~ 8)' SUE MJt~A e ;-E(e;) , ~-ilt~~ ~f\.~fft'Jlli.~~~ ~~, = -1 I l5ei - E (ei )
~~'~.#8~~~~£~~~~~%~*t~~~~~~£~t~~~fftMli.~~~~~
~~11A ~",~ok-E(ei)] ~*i~ ;Drift60 A..=. 8 ~%'Jl M1i. 60 7;.~ I.A*.~-tJ~Ut61(ICARt /60) . ;p~tJ!J!l~ GJ t A..=. 8 .1HJl M~-t~;PJ~it?.u:.1i.~ GJ:i 0
1;2
A.FDCfl-t-tt FDC Drift60 ;p*"JI'I !Ni3t DJ :I:
SUE I 67 1.64** -3.38*** -4.83***( t-stat l ( 2.35 ) ( -21.13 ) ( -18.84 )
SUE2 67 -0.67 -3.94*** -5.84***( t-stat ) ( -0.69 ) ( - 10.75 ) ( -15.44 )
SUE 3 67 -0.56 -2.28*** -2.73***( t-stat ) (-0.65 1 [ -28, ) r -26. 4 )
SUE 4 67 -2.24** 0.80*** 1. 3 0* ~ *
( t-stat ) [ -2.20 ) [ 4.28 J (8.70 )
SUEI-SUE4 67 3.88*** -4.18*** -6.13***( t-stat ) . 3.02 ) -12 .67 , ( - 16.45 J
3 ~ %1~ 60 8 ~ I ~ Jt. ,*,tl~ . JtJl M-i:t t+3~t+62 ' Jt 'f t=O B~ l.!.J -'=14- 8 0
4~%1~90 8~1~Jt.,*,~~· JtJlM.f:tt+3~t+92· Jt'ft=OB~p"-'=14-8 0
B.SUEtt*-ii:. FDC Drift60
FDCl 67 8.73*** -5.00***[ t-stat ) [ 14.55 ) [-17.52 )
FDC2 67 1.42*** -0.78***[ t-stat ) [ 12.41 ) (-6.16 )
FDC3 67 -2.40*** -2.43***( t-stat ) [ -13.48 ) (-20.9 )
FDC4 67 -9.57*** -0.58***[ t-stat ) [-18.75) [-5.08 )
FDCI-FDC4 67 18.30*** -4.42***( t-stat ) [25.26 ) [-11.61)
(ti: : * : a <0.1, ** : a <0.05, *** : a <0.01)
~2 ;t('t'$f~.!.3t~.
-7.23***(-18.48)
-2.02***[-9.53 )
-3.24***(-16.69 )
0.41**[2.35J
-7.64***[-13.84 )
s z il7t1tZ.'l1t FDC~ SUE 7tJNliI ~!'1ft\M~1&lm1m7t1Jt ' jtJ-A Vii =ai +Pi! • IM li 1+ Pi2 •
priceIi + Pi3 • size; + Vii ~tJf.~lLit~ J: ' -ii}1m7t1Jt7t1&~1t\~1lf ' 7t)HlilI.~ Drift60 ~
Drift909r ' ij);fiiJa~~Jt~1f1t~€fJ~~·I1..
'lt~-t~1t FDC 1 FDC2 FDC3 FDC4 SUE 1 SUE 2 SUE 3 SUE 4
~~~-12.58 -8.68 -4.65 5.61 -6.67 -12.86 -3.83 3.70
)t~f:
Drift60 1t~~-5.33 2.76 -1.82 -2.89 -4.20 -3.07 -1.24 0.59
)t~f:
~-1t -7.25*** -11.44*** -2.83*** 8.50*** -2.47*** -9.79*** -2.59*** 3.11**(t-stat) [ -11.0 J [-23.8 ) [-10.7 J [5.78 ) (-8.78 ) [-17.9 J [ -8.24 ) [2.10 J
)t ~ i:~15.. FOC 1 FOC2 FOC3 FOC4 SUE 1 SUE 2 SUE 3 SUE 4
~~~-17.24 -10.67 -9.24 5.97 -10.94 -15.93 -6.96 3.61
)t~f:
Orift90 1t~~-11.43 0.53 -6.25 -3.68 -9.258 -6.73 -3.65 -2.19
'lt~f:
~-1t -5.81*** -11.21*** -3.00*** 9.65*** -1.68*** -9.20*** -3.30*** 5.80***(t-stat) [-12.7 ) [-25.6 J [-12.3 J [9.78 ) [ -9.51 ) [-18.5 ) [-9.54 ) [2.79 )
$z 3 il7t1tZP.~, FDC~ SUE 7t}JIJ liI ~!IHt\M~1&lm1m7t1Jt ' jtJ-A Vii =ai + Pi! • IM li 1+ P i2 •
price Ii +Pi3 • size ; +Pi4 • lOti +Vii ,~tJ.~1t:it~ -J:-tt ' -ii}1m 7t1Jt 7t 1& ~1t\~1lf ' 7t }JIJ
lilI.~ Drift60 ~ Drift90 9r ' fiiJ ~~Jt~1f1t~€fJM.~t~~·t1. 0
'lt~:t~1t FDCI FDC2 FOC3 FDC4 SUE 1 SUE 2 SUE 3 SUE 4
~~~ -9.50 -10.67 -11.70 7.06 -9.12 -14.10 -3.01 2.82'lt~i:
Orift60 1t~~-8.49 4.81 5.45 -4.38 -1.67 -1.80 -2.09 1.50
)t~-t
~-1t -1.01 -15.48*** -17.14*** 11.45*** -7.45*** -12.30*** -0.92 1.32***
(t-stat) [-1.35 J [-26.2 ) (-23.3 ) ( 10.5) (-7.42 ) (-17.9 ) (-1.22 ) (3.29 )
'lt~-I ~1t FOC I FOC2 FOC3 FOC4 SUE 1 SUE 2 SUE 3 SUE 4
~~~ -16.16 -11.32 -15.89 8.44 -13.41 -17.65 -6.15 2.08)t~ i:
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The Information Content of Trading Volume from Earnings
Change Announcements
Chia-Chung Chan
Associate Professor, Department of FinanceTunghai University
Che-Yuan Hsu
Master, Graduate School of ManagementTunghai University
ABSTRACT
In this paper, we explain why different trading volume is observed when afirm announces earnings news and how trading volume can be related to the initiallevel of the stock price. The issue between trading volume and stock return has ledmany researchers to investigate possible explanations for it. We contribute to thisfield by looking at trading volume around earnings announcements and itsimplications for the magnitude of the post-announcement drift. We show that publicnews that have clear value implications will lead to lower trading volume and asmaller drift. The trading volume generated by the announcement of publicinformation can be a result of the interaction between two different types ofinvestors, and that the magnitude of trading volume can reveal information about thedegree of overreaction by investors. We also discuss possible explanations for theasymmetric informativeness of trading volume.
Keywords: earnings announcement, overreaction, trading volume, surprise effect