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.
|Number of pages||20|
|Journal||Pacific Basin Finance Journal|
|Publication status||Published - 1 May 1998|
- Earnings announcements
- Trading volume