Volume Reaction to Firm Specific News Announcements
24 Pages Posted: 29 Aug 2012 Last revised: 2 Oct 2012
Date Written: August 27, 2012
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: Suggested Citation