TY - JOUR
T1 - Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements
AU - KIM, Jeong-Bon
AU - KRINSKY, Itzhak
AU - LEE, Jason
PY - 1997/1
Y1 - 1997/1
N2 - This paper empirically examines the incremental relation between trading volume surrounding quarterly earnings announcements and institutional holdings. Consistent with Cready (1988) and Lee (1992), we find a significant positive relation between abnormal trading volume and the fraction of institutional ownership during the period immediately following an earnings announcement, after controlling for the magnitude of the associated price reaction and the dispersion of analysts’ EPS forecasts. The results are robust to various measures of abnormal trading volume. Our findings suggest that newly released information does not necessarily have the same value to heterogeneous investor types and support Lev's (1988) emphasis on the importance of focusing on investor classes.
AB - This paper empirically examines the incremental relation between trading volume surrounding quarterly earnings announcements and institutional holdings. Consistent with Cready (1988) and Lee (1992), we find a significant positive relation between abnormal trading volume and the fraction of institutional ownership during the period immediately following an earnings announcement, after controlling for the magnitude of the associated price reaction and the dispersion of analysts’ EPS forecasts. The results are robust to various measures of abnormal trading volume. Our findings suggest that newly released information does not necessarily have the same value to heterogeneous investor types and support Lev's (1988) emphasis on the importance of focusing on investor classes.
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UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84998080738&origin=recordpage
U2 - 10.1177/0148558X9701200101
DO - 10.1177/0148558X9701200101
M3 - RGC 21 - Publication in refereed journal
SN - 0148-558X
VL - 12
SP - 1
EP - 14
JO - Journal of Accounting, Auditing and Finance
JF - Journal of Accounting, Auditing and Finance
IS - 1
ER -