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    When two anomalies meet: Volume and timing effects on earnings announcements

    81685.pdf (804.5Kb)
    Access Status
    Open access
    Authors
    Hu, Wei
    Wong, Mark
    Cheung, Adrian Wai Kong
    Date
    2020
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Hu, W. and Wong, M. and Cheung, A.W.K. 2020. When two anomalies meet: Volume and timing effects on earnings announcements. The Financial Review. 56: pp. 355– 380.
    Source Title
    The Financial Review
    DOI
    10.1111/fire.12255
    ISSN
    1540-6288
    Faculty
    Faculty of Business and Law
    School
    School of Economics, Finance and Property
    Remarks

    This is the peer reviewed version of the following article: Wong, M, Wai Kong Cheung, A, Hu, W. When two anomalies meet: Volume and timing effects on earnings announcements. Financial Review. 2020; 1– 26, which has been published in final form at https://doi.org/10.1111/fire.12255. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.

    URI
    http://hdl.handle.net/20.500.11937/81643
    Collection
    • Curtin Research Publications
    Abstract

    This study investigates the joint effect of trade volume and report timing on earnings‐announcement premiums. We find that high trading volume effect adds to early announcement effect but not vice versa. After controlling for firm characteristics, late timing and high trade volume have a positive joint effect; stocks with late announcements and low trade volume earn the largest but short‐lived premium. We cannot find evidence to support the notion that early announcements result in superior premiums; the unusual volume effect is much greater in magnitude, longevity, and significance than the timing effect.

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