Institutional Holding and Trading Volume Reactions to Quarterly Earnings Announcements

University of Alberta School of Business Research Paper No. 2013-1058

Journal of Accounting, Auditing & Finance January 1997 12: 1-14

Posted: 2 Jul 2013

See all articles by Jason Lee

Jason Lee

University of Alberta

Jeong-Bon Kim

City University of Hong Kong

Itzhak Krinsky

Deutsche Bank Alex. Brown

Date Written: June 1, 1996

Abstract

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 immediatly following an earnings announcement, after controlling for the magnitude of the associated price reaction and the dispersion of analysts' EPS forecasts.

JEL Classification: G10, G13, G34

Suggested Citation

Lee, Jason and Kim, Jeong-Bon and Krinsky, Itzhak, Institutional Holding and Trading Volume Reactions to Quarterly Earnings Announcements (June 1, 1996). University of Alberta School of Business Research Paper No. 2013-1058, Journal of Accounting, Auditing & Finance January 1997 12: 1-14, Available at SSRN: https://ssrn.com/abstract=2280830

Jason Lee (Contact Author)

University of Alberta ( email )

Edmonton, Alberta T6G 2R6
Canada
780-492-4839 (Phone)
780-492-3325 (Fax)

Jeong-Bon Kim

City University of Hong Kong ( email )

Department of Accountancy
83 Tat Chee Avenue
Kowloon Tong
Hong Kong
852-3442-7909 (Phone)

Itzhak Krinsky

Deutsche Bank Alex. Brown

New York, NY
United States

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