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Intra-Industry Transfer of Information Inferred From Trading Volume

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Listed:
  • Iuliia Brushko
  • Stephen P. Ferris
  • Jan Hanousek
  • Jiri Tresl

Abstract

This study examines the responsiveness of trading volume to a firm’s earnings announcements We find that the volume and earnings surprise information generated at the first earnings announcement within an industry help to explain the stock returns of the non-announcing firm. Specifically, it explains their equity performance at the time of the first industry announcement and then again after their own earnings announcement. These results provide novel insights into how earnings announcements contain both firm specific as well as industry information that is value relevant for investors.

Suggested Citation

  • Iuliia Brushko & Stephen P. Ferris & Jan Hanousek & Jiri Tresl, 2020. "Intra-Industry Transfer of Information Inferred From Trading Volume," CERGE-EI Working Papers wp663, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    • Handle: RePEc:cer:papers:wp663
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    References listed on IDEAS

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    More about this item

    Keywords

    intra-industry; earnings announcement; earnings surprise; trading activity;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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