TY - JOUR
T1 - Trading volume and information asymmetry : routine versus nonroutine earnings announcements in Australia
AU - Mahipala, Thusitha
AU - Chan, Howard
AU - Faff, Robert
PY - 2009
Y1 - 2009
N2 - Focussing on earnings-related rather than different classes of corporate announcements as in Chae (2005), we examine trading volume behaviour and the role played by informed and uninformed investors around routine and nonroutine announcements. Prior to preliminary final earnings announcements, there is a consistent decline in trading volume consistent with higher adverse selection costs. For interim announcements, there is an increase in pre-announcement trading volume while no significant volumes are observed for Annual General Meetings (AGMs) and nonroutine Management Earnings Forecast (MEF) announcements. As for post-announcement, trading volume is negatively related to firm size and number of analysts, suggesting a positive link between volume and information asymmetry. However, the news content of any MEF contained in nonroutine, AGM or interim announcements does not appear to have an impact upon pre- and post-announcement abnormal trading volume.
AB - Focussing on earnings-related rather than different classes of corporate announcements as in Chae (2005), we examine trading volume behaviour and the role played by informed and uninformed investors around routine and nonroutine announcements. Prior to preliminary final earnings announcements, there is a consistent decline in trading volume consistent with higher adverse selection costs. For interim announcements, there is an increase in pre-announcement trading volume while no significant volumes are observed for Annual General Meetings (AGMs) and nonroutine Management Earnings Forecast (MEF) announcements. As for post-announcement, trading volume is negatively related to firm size and number of analysts, suggesting a positive link between volume and information asymmetry. However, the news content of any MEF contained in nonroutine, AGM or interim announcements does not appear to have an impact upon pre- and post-announcement abnormal trading volume.
KW - Australasia
KW - Australia
KW - information asymmetry
KW - trading volume
UR - http://handle.uws.edu.au:8081/1959.7/uws:32098
U2 - 10.1080/09603100802599639
DO - 10.1080/09603100802599639
M3 - Article
SN - 0960-3107
VL - 19
SP - 1737
EP - 1752
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 21
ER -