Earnings Announcements, Asymmetric Information, Trades and Quotes

Posted: 7 Dec 2003


This paper empirically analyses trades and quotes around the times of 37 earnings announcements in the Paris Bourse. We find that trading volume is larger on announcement days, spreads are wider after announcements, and the permanent positive (resp. Negative) price impact of purchases (sales) is greater around announcements. While the findings pertaining to the spread and the permanent impact of trades are consistent with the view that earnings announcements correspond to an increase in information asymmetries, the result that trading volume is larger suggests that other effects are at work.

Keywords: Asymmetric Information, Capital Markets, Earnings

JEL Classification: D82, G14, M41

Suggested Citation

Gajewski, Jean-Francois, Earnings Announcements, Asymmetric Information, Trades and Quotes. European Financial Management, Vol. 5:3, November 1999. Available at SSRN: https://ssrn.com/abstract=476840

Jean-Francois Gajewski (Contact Author)

University Savoie Mont-Blanc, IREGE ( email )

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BP 80439
Annecy-le-Vieux, 74944
33 6 10 32 71 06 (Phone)
33 4 50 09 24 39 (Fax)

HOME PAGE: http://www.univ-savoie.fr/

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