Volume Reaction to Firm Specific News Announcements

24 Pages Posted: 29 Aug 2012 Last revised: 2 Oct 2012

See all articles by Huu Nhan Duong

Huu Nhan Duong

Monash University - Department of Banking and Finance; Financial Research Network (FIRN)

Petko S. Kalev

La Trobe Business School

Priyantha Mudalige

Curtin University- School of Economics, Finance and property

Date Written: August 27, 2012

Abstract

This study investigates individual and institutional investors’ behaviour around firm specific news announcements. We find that individual investors and institutional investors have positive and significant abnormal volume on announcement days and significantly less abnormal volume on days without announcements. Both investor types show significant abnormal volume around progress reports, periodic reports, dividend and takeover announcements. Individual and institutional investors exhibit positive abnormal volume around scheduled and unscheduled firm specific announcements. Buy and sell abnormal volume around scheduled announcements are positive for the investor classes whereas institutional buy and individual sell abnormal volume are positive around unscheduled announcements, both at 1% significant level.

Keywords: Institutional investors, Individual investors, Abnormal volume, Standard volume, Firm specific news, Scheduled news, Unscheduled news

JEL Classification: G12, G14

Suggested Citation

Duong, Huu Nhan and Kalev, Petko S. and Mudalige, Priyantha, Volume Reaction to Firm Specific News Announcements (August 27, 2012). Available at SSRN: https://ssrn.com/abstract=2137004 or http://dx.doi.org/10.2139/ssrn.2137004

Huu Nhan Duong

Monash University - Department of Banking and Finance ( email )

Melbourne
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Petko S. Kalev

La Trobe Business School ( email )

Department of Economics and Finance
Donald Whitehead Building: Level 3, DWB313
Bundoora, Victoria 3086
Australia
+613 9479 6285 (Phone)
+613 9479 1654 (Fax)

HOME PAGE: http://www.latrobe.edu.au/business/about/staff/profile?uname=PKalev

Priyantha Mudalige (Contact Author)

Curtin University- School of Economics, Finance and property ( email )

Building, 408 Room 3035
Kent St.
Bentley, WA 6102
Australia
61892669977 (Phone)

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