Earnings Announcements, Asymmetric Information, Trades and Quotes
分析巴黎证券交易所37次盈利公告前后的交易和报价数据，发现公告日交易量更大、公告后价差更宽、买卖的永久价格影响更大，表明信息不对称增加，但交易量增大暗示其他因素也在起作用。
This paper empirically analyses trades and quotes around the times of 37 earnings announcements in the Paris Bourse. We find that trading volume is larger on announcement days, spreads are wider after announcements, and the permanent positive (resp. negative) price impact of purchases (sales) is greater around announcements. While the findings pertaining to the spread and the permanent impact of trades are consistent with the view that earnings announcements correspond to an increase in information asymmetries, the result that trading volume is larger suggests that other effects are at work.