The Impact of Timing of the Release of Firm-Specific Announcements on Trade Initiation

43 Pages Posted: 18 Aug 2017

See all articles by Priyantha Mudalige

Priyantha Mudalige

Curtin University- School of Economics, Finance and property

Petko S. Kalev

La Trobe Business School

Kartick Gupta

University of South Australia

Huu Nhan Duong

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

Date Written: August 17, 2017

Abstract

This paper investigates trade initiation activities ‘immediately’ before and after earnings and takeover ‘day’ announcements. We find that investors’ initiate buy and sell (buy or sell) trades immediately before (after) earnings and takeover day announcements. High volatility and more prominent effective spread before ‘overnight’ announcements indicate active informed trading, showing evidence of information leakage. Similarly, high volatility and less prominent effective spread before day announcements exhibit more active uninformed trading. Overall, private information (Differential information) is the likely motive for trade initiation before overnight announcements (day announcements). We suggest that day announcements are more effective than overnight announcements in controlling information leakage. Our results complement prior literature on effectiveness of continuous disclosure on the ASX.

Suggested Citation

Mudalige, Priyantha and Kalev, Petko S. and Gupta, Kartick and Duong, Huu Nhan, The Impact of Timing of the Release of Firm-Specific Announcements on Trade Initiation (August 17, 2017). 30th Australasian Finance and Banking Conference 2017, Available at SSRN: https://ssrn.com/abstract=3021445 or http://dx.doi.org/10.2139/ssrn.3021445

Priyantha Mudalige

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

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

Petko S. Kalev (Contact Author)

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

Kartick Gupta

University of South Australia ( email )

37-44 North Terrace, City West Campus
Adelaide, South Australia 5001
Australia
+61 8 830 27179 (Phone)

HOME PAGE: http://people.unisa.edu.au/Kartick.Gupta

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
16
Abstract Views
487
PlumX Metrics