Assessing Investor Response to Information Events Using Return and Volume Metrics
比较收益率和成交量两类指标在检测投资者对信息事件反应时的统计功效，发现基于交易量的指标（尤其是交易笔数）比收益率指标更有效，且两者结合能提高检测能力，对小样本或弱反应场景尤其重要。
Prior research addressing questions such as whether investors respond to a hypothesized information event used tests of unusual return and/or trading activity as alternative measures of investor response. We investigate which of these two metrics maximizes the likelihood that a researcher correctly detects the presence or absence of a response. Building on the repeated-sample framework established in Brown and Warner (1980, 1985) and Dyckman et al. (1984), we provide evidence that (1) volume-based metrics, especially measures based on numbers of transactions, provide more powerful tests of investor response to public disclosures than do return-based metrics; and (2) supplementing return-based measures with trading-based measures increases the power of tests designed to detect investor response. Our conclusions are particularly relevant when power is critical (i.e., when sample sizes are small or anticipated investor response is small). Our evidence also suggests that before concluding that investors do not respond to a public disclosure, based on a returns analysis, researchers should confirm the nonresponse inference with trading-based measures.