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Comportamiento de los precios y volúmenes de negociación ante anuncios de beneficios anuales
Sonia Sanabria García |
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This paper analyses empirically the effect that the annual earnings announcements has on stock’s market value and trading volume in the Spanish stock market during 1999, 2000 and 2001. We examine the actual relation between abnormal trading volume and changes in stocks prices around earnings announcements. Additionally, we study the sensitivity of trading volume to the accumulated abnormal return’s sign. We also consider different firms’ characteristics as possible determinants of abnormal trading volume around annual earnings announcements.
We find that the release of annual earnings announcements provokes an immediate stock market reaction, which suggests the presence of informative content. At the same time, we observe an asymmetric relation between abnormal trading volume and abnormal returns in the interval (0, 1). We find that contemporary trading activity around earnings announcements is related not only with analysts following during the previous year to the earnings announcement and its informative content but also with the magnitude of unexpected earnings. However, abnormal trading volume is not associated to the investors’ opinion divergence before earnings announcement. It is neither related to the period of time lapsed between the prediction and earnings announcements release nor to the risk change.
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