Earnings Quality and Trading Volume Reactions Around Earnings Announcements: International Evidence
| Autor: | Jeff Zeyun Chen, Siu Kai Choy, Gerald J. Lobo, Ying Zheng |
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| Rok vydání: | 2022 |
| Předmět: | |
| Zdroj: | Journal of Accounting, Auditing & Finance. :0148558X2211177 |
| ISSN: | 2160-4061 0148-558X |
| DOI: | 10.1177/0148558x221117722 |
| Popis: | Using a cross-country setting, we document differences in the relation between earnings quality and the two components of trading volume around earnings announcements, one related to differential interpretation of the earnings signal and the other related to pre-event differential information precision. We find that in countries with stronger investor protection, less corrupt governments, and more liquid stock markets, a noisier earnings signal increases differential interpretation of the earnings signal but decreases investors’ incentive for information acquisition before earnings announcements, leading to lower pre-event differential information precision. However, these trading patterns flip in countries with weaker investor protection, more corrupt governments, and less liquid stock markets. We also find that institutional investors in countries with stronger institutions are likely to benefit more from their superior information processing skills, leading to more information acquisition both at and before earnings announcements. Overall, our study adds to the literature by documenting significant cross-country variations in investors’ trading volume reactions to earnings quality. |
| Databáze: | OpenAIRE |
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