Intradaily Price‐Volume Adjustments of NYSE Stocks to Unexpected Earnings
利用价格-成交量交易数据，研究股票对季度盈利公告意外程度的调整速度和路径，发现正意外盈利的股票调整更快，且成交量、交易频率和规模与意外程度直接相关。
ABSTRACT The speed and path of adjustment in stocks to the degree of earnings surprise in their quarterly announcements are studied using price‐volume transactions data. A differential price‐adjustmentp rocess was observed,w ith stocks having large,p ositive earnings surprises experiencing a faster adjustment compared with those stocks with negative earnings surprises. Volume, transaction frequency, and size were found to be directly related to the absolute degree of surprise,b ut very favorablee arnings‐surprises tocks experienced initially a large number of smaller trades while stocks with large unfavorable earnings surprises had relatively fewer transactions but higher volume per trade.