| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13090 |
| 来源ID | Working Paper 13090 |
| The Earnings Announcement Premium and Trading Volume | |
| Owen Lamont; Andrea Frazzini | |
| 发表日期 | 2007-05-11 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w13090 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570758 |
| 推荐引用方式 GB/T 7714 | Owen Lamont,Andrea Frazzini. The Earnings Announcement Premium and Trading Volume. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13090.pdf（179KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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