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Earnings informativeness and trading frequency: Evidence from African markets
Author(s) -
Jones Edward A. E.,
Kyiu Anthony K.,
Li Hao
Publication year - 2021
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1836
Subject(s) - earnings , synchronicity , stock (firearms) , economics , volatility (finance) , market liquidity , monetary economics , post earnings announcement drift , emerging markets , earnings response coefficient , financial economics , accounting , finance , mechanical engineering , philosophy , epistemology , engineering
We investigate the informativeness of earnings announcements in African stock markets and examine whether, conditional on the level of synchronicity and liquidity of stocks, market reactions are influenced by earnings characteristics. Normalized volatility indicates that earnings announcements are informative across the sample. The results are driven by less frequently traded stocks and informativeness manifests more clearly at announcement and in the post‐announcement window. There is little evidence of leakage. Informativeness is also present for highly traded stocks, notably after announcement. Cross‐sectional tests provide evidence of an effect of both earnings fundamentals and investor behaviour on stock returns around earnings announcements.