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Intra-Industry Transfer of Information Inferred From Trading Volume

CERGE-EI Working Paper Series No. 663

31 Pages Posted: 27 Oct 2020

See all articles by Iuliia Brushko

Iuliia Brushko

Charles University in Prague - CERGE-EI, a joint workplace of Charles University and the Economics Institute of the Czech Academy of Sciences

Stephen P. Ferris

University of Missouri at Columbia - Department of Finance

Jan Hanousek

CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute); Charles University in Prague; Academy of Sciences of the Czech Republic; Centre for Economic Policy Research (CEPR)

Jiri Tresl

Charles University in Prague - CERGE-EI, a joint workplace of Charles University and the Economics Institute of the Czech Academy of Sciences

Date Written: September 1, 2020

Abstract

This study examines the responsiveness of trading volume to a firm’s earnings announcements We find that the volume and earnings surprise information generated at the first earnings announcement within an industry help to explain the stock returns of the non-announcing firm. Specifically, it explains their equity performance at the time of the first industry announcement and then again after their own earnings announcement. These results provide novel insights into how earnings announcements contain both firm specific as well as industry information that is value relevant for investors.

Keywords: intra-industry; earnings announcement; earnings surprise; trading activity

JEL Classification: G14

Suggested Citation

Brushko, Iuliia and Ferris, Stephen P. and Hanousek, Jan and Tresl, Jiri, Intra-Industry Transfer of Information Inferred From Trading Volume (September 1, 2020). CERGE-EI Working Paper Series No. 663, Available at SSRN: https://ssrn.com/abstract=3688552 or http://dx.doi.org/10.2139/ssrn.3688552

Iuliia Brushko (Contact Author)

Charles University in Prague - CERGE-EI, a joint workplace of Charles University and the Economics Institute of the Czech Academy of Sciences ( email )

Politickych veznu 7
Prague, 111 21
Czech Republic

HOME PAGE: http://www.cerge-ei.cz

Stephen P. Ferris

University of Missouri at Columbia - Department of Finance ( email )

214 Middlebush Hall
Columbia, MO 65211
United States
573-882-6272 (Phone)
573-884-6296 (Fax)

Jan Hanousek

CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) ( email )

Politickych veznu 7
Prague, 111 21
Czech Republic
420 2 2400 5119 (Phone)
420 2 2421 1374 (Fax)

HOME PAGE: http://www.cerge-ei.cz

Charles University in Prague ( email )

Celetná 13
Praha 1, 116 36
Czech Republic

Academy of Sciences of the Czech Republic ( email )

Narodni 3, 111 42
Praha 1, 117 20
Czech Republic

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Jiri Tresl

Charles University in Prague - CERGE-EI, a joint workplace of Charles University and the Economics Institute of the Czech Academy of Sciences ( email )

Politickych veznu 7
Prague, 111 21
Czech Republic

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