TY  - BOOK
TI  - The earnings announcement premium and trading volume
AU  - Lamont, Owen A.
PY  - 2007
PB  - National Bureau of Economic Research
LA  - eng
KW  - 1973-2004
AB  - On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.
SP  - 51 S.
T2  - NBER working paper series 13090
UR  - https://www.pollux-fid.de/r/kxp-529636077
H1  - Pollux (Fachinformationsdienst Politikwissenschaft)
ER  -