Explanatory factors for trading volume responses to annual earnings announcements: Evidence from the Korean stock market

Jong Seo Choi, Chongwoo Choe

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

Abstract

This study provides empirical evidence regarding the effect of annual accounting earnings announcements on investors' trading behavior in the Korean stock market. Unexpected earnings (UE), the degree of predisclosure information asymmetry and risk change are hypothesized to have positive correlations with abnormal trading volume around the disclosure date. On the other hand, a negative relationship between firm size and trading volume around the disclosure date is hypothesized. Empirical studies using non-parametric testing procedures confirm most of the research hypotheses except for risk change effect.

Original languageEnglish
Pages (from-to)193-212
Number of pages20
JournalPacific Basin Finance Journal
Volume6
Issue number1-2
Publication statusPublished - 1 May 1998
Externally publishedYes

Keywords

  • Earnings announcements
  • G14
  • M41
  • Trading volume

Cite this