EARNINGS QUALITY AND TRADING VOLUME REACTIONS AROUND EARNINGS ANNOUNCEMENTS: INTERNATIONAL EVIDENCE
Ключевые слова:
Key words: earnings quality, stock returns, international markets, trading volume, financial modeling, stock brokerage analysts, market dynamics, earnings forecasts, the volume-return, hypothesis of identical interpretations, market efficiency.Аннотация
Abstract: This paper challenges the widely held assumption in financial modeling that market participants interpret public information identically. This study aims to investigate the relationship between earnings quality and trading volume reactions around earnings announcements across a diverse range of international markets. By analyzing the relationship between trading volume and stock returns around public announcements, we find evidence inconsistent with this assumption. To address this inconsistency, they develop a novel model of trade incorporating differential interpretations, which aligns with the observed volume-return relation.
Библиографические ссылки
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