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The type of corporate announcements and its implication on trading behaviour
Author(s) -
Zheng Liyi
Publication year - 2020
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12356
Subject(s) - market liquidity , information asymmetry , business , monetary economics , algorithmic trading , trading strategy , affect (linguistics) , insider trading , high frequency trading , financial economics , econometrics , economics , finance , psychology , communication
I report the empirical evidence to show how firms’ expected and unexpected announcements affect investors’ trading behaviour. I find that trading volume decreases before expected announcements, either scheduled or unscheduled, consistent with models that predict that discretionary liquidity traders may postpone their trading until after an anticipated news release. I also find that the magnitude of pre‐announcement trading reactions is negatively associated with the level of pre‐disclosure information asymmetry. I further find that trading volume is boosted before unexpected announcements, and the relation between the magnitude of pre‐announcement trading reactions and the pre‐disclosure information asymmetry is weakly significant or insignificant.