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Intradaily Price‐Volume Adjustments of NYSE Stocks to Unexpected Earnings
Author(s) -
WOODRUFF CATHERINE S.,
SENCHACK A. J.
Publication year - 1988
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1988.tb03950.x
Subject(s) - earnings surprise , earnings , surprise , volume (thermodynamics) , economics , database transaction , post earnings announcement drift , price–earnings ratio , econometrics , monetary economics , financial economics , earnings response coefficient , earnings per share , accounting , database , computer science , psychology , social psychology , physics , quantum mechanics
The speed and path of adjustment in stocks to the degree of earnings surprise in their quarterly announcements are studied using price‐volume transactions data. A differential price‐adjustmentp rocess was observed,w ith stocks having large,p ositive earnings surprises experiencing a faster adjustment compared with those stocks with negative earnings surprises. Volume, transaction frequency, and size were found to be directly related to the absolute degree of surprise,b ut very favorablee arnings‐surprises tocks experienced initially a large number of smaller trades while stocks with large unfavorable earnings surprises had relatively fewer transactions but higher volume per trade.