Institutional Holding and Trading Volume Reactions to Quarterly Earnings Announcements
Journal of Accounting, Auditing & Finance January 1997 12: 1-14
Posted: 2 Jul 2013
Date Written: June 1, 1996
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: Suggested Citation