Unexpected Earnings, Firm Size, and Trading Volume Around Quarterly Earnings Announcements.
研究发现季度盈利公告后交易量的幅度和持续时间与意外盈利正相关，与公司规模负相关；即使控制已知的公司规模，意外盈利仍对交易量有增量解释力。
Abstract ABSTRACT: This study hypothesizes and finds that both the magnitude and duration of the trading volume reaction to quarterly earnings announcements are increasing functions of unexpected earnings and decreasing functions of a factor affecting the availability of predisclosure information: firm size. In contrast to unexpected earnings, which are not known until earnings are actually announced, firm size can be assessed prior to the announcement. Evidence that market reactions to quarterly earnings announcements differ systematically with a variable such as firm size, whose value is known before the announcement, may be relevant to policymakers in evaluating the potential benefits of differential accounting disclosure requirements (especially those based on firm size). Additional analysis, however, also confirms the incremental value of the actual earnings disclosures: even after controlling for the already known firm size, unexpected earnings are still positively related to the magnitude and duration of the trading volume reaction.