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Comportamiento De Los Precios Y Volúmenes De Negociación Ante Anuncios De Beneficios Anuales

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  • Sonia Sanabria

    (Universidad de Alicante)

Abstract

The aim of this study is analyzed empirically the effect that annual earnings announcementshave in market value and the trading volume of shares on the Spanish Stock Market for the periodbetween 1999 and 2001. With the finality to accomplish a more complete analysis, is examined theactual relation between changes in the trading volume around earnings announcements and changes inshares prices besides the sensibility of trading volume to the accumulated abnormal return’s sign inaddition to different firms’ characteristics as determinants of changes in the trading volume aroundearnings announcements.The obtained results demonstrate the presence of informative content at the annual earningsannouncements’ disclosure. Activity of trading volume around earnings announcements is connectedwith the number of analysts following a firm during the previous year to the announcement andinformation content of the earnings announcement, without anything which indicate that it isassociated with the investors’ opinion divergence before the disclosure, the period of time lapsedbetween the prediction and the earnings announcements, or with the risk change. The magnitude ofunexpected earnings is explanatory of the contemporary trading volume. En este trabajo se analiza empíricamente el efecto que la publicación del beneficio anual tiene sobre el valor de mercado y el volumen de negociación de las acciones admitidas a cotización en el mercado bursátil español para el periodo 1999-2001. Con la finalidad de llevar a cabo un análisis más completo, se examina la relación existente entre los cambios en los volúmenes alrededor del anuncio y los cambios en el precio de las acciones así como la sensibilidad del volumen anormal al signo de las rentabilidades anormales acumuladas, además de las diferentes características de las empresas como determinantes de los cambios en la negociación alrededor del anuncio. Los resultados obtenidos ponen de manifiesto la existencia de contenido informativo en la publicación del beneficio contable anual. La actividad de negociación alrededor del anuncio de beneficio anual está relacionada con el número de analistas financieros que cubren una empresa durante el año previo al anuncio y con el contenido informativo del beneficio, sin que existan indicios de que esté asociada con la divergencia de opinión de los inversores previa a la publicación, el intervalo de tiempo transcurrido entre la predicción y la publicación, o con el cambio de riesgo. La magnitud de beneficio inesperado es explicativa de la negociación contemporánea.

Suggested Citation

  • Sonia Sanabria, 2004. "Comportamiento De Los Precios Y Volúmenes De Negociación Ante Anuncios De Beneficios Anuales," Working Papers. Serie EC 2004-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:2004-03
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    References listed on IDEAS

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